ISSN:
1554-9658
Keywords:
Asian option
;
forward risk adjusted measure
;
life insurance
;
Monte Carlo simulation
;
stochastic interest rates
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
Abstract An equity-linked life insurance contract combines an endowment life insurance and an investment strategy with a minimum guarantee. The benefit of this contract is determined by the guaranteed amount plus a bonus equal to a call on the portfolio. This bonus is similar to an Asian option. This article analyzes the relationship between the periodic insurance premium and its proportional share invested into the portfolio. For a general model of the financial risks we show the existence and uniqueness of an insurance premium. Furthermore the premium is strictly increasing and convex as a function of the share invested.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF00949051
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