کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
9552764 1374146 2005 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The valuation of unit-linked policies with or without surrender options
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
The valuation of unit-linked policies with or without surrender options
چکیده انگلیسی
This paper is concerned with the fair valuation of a kind of equity-linked policies with interest rate guarantees, and we deal with this issue in two aspects: the policies with or without surrender options before maturity date. The method we adopted in this paper is a Partial Differential Equation Approach (PDE). The PDE models for the fair valuation of the policies are derived, and their analytic solutions are obtained when surrender is not allowed. For the valuation of the policy with surrender options, the problem is reduced to a PDE model with free boundaries. The impact of the parameters appearing in the model on the surrender options is investigated by both theoretical and numerical analysis.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 36, Issue 1, 22 February 2005, Pages 79-92
نویسندگان
, ,