کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9552794 | 1374149 | 2005 | 27 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Endogenous model of surrender conditions in equity-linked life insurance
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We propose a model for pricing a unit-linked life insurance policy embedding a surrender option. We consider both single and annual premium contracts. First we analyse a quite general contract, for which we obtain a backward recursive valuation formula based on the Cox et al. [Cox, J.C., Ross, S.A., Rubinstein, M., 1979. Option pricing: a simplified approach. J. Finan. Econ. 7, 229-263] binomial model. Then we concentrate upon a particular case, that is the famous model with exogenous minimum guarantees. In this case we extend our previous analysis in order to take into account the possibility that the guarantees at death or maturity and the surrender values are endogenously determined, and provide necessary and sufficient conditions for the premiums to be well defined.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 37, Issue 2, 18 October 2005, Pages 270-296
Journal: Insurance: Mathematics and Economics - Volume 37, Issue 2, 18 October 2005, Pages 270-296
نویسندگان
Anna Rita Bacinello,