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Valuation of flexible insurance contracts
Author(s):
A.
V.
Melnikov;
M.
M.
Moliboga;
V.
S.
Skornyakova
Original publication:
Teoriya Imovirnostei ta Matematichna Statistika,
vipusk 73
(2005).
Journal:
Theor. Probability and Math. Statist.
No. 73
(2006),
109-115.
MSC (2000):
Primary 60H30, 91B28, 91B30
Posted:
January 17, 2007
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Abstract:
This work is devoted to the study of insurance contracts based on risky instruments of the financial market. In the case of Black and Scholes for constant and stochastic volatility, we present specific formulas for the valuation of premiums for contracts of pure endowment with guarantee.
References:
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- M. J. Brennan and E. S. Schwartz, The pricing of equity-linked life insurance policies with an asset value guarantee, Journal of Financial Economics 3 (1976), 195-213.
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- T. Møller, Hedging equity-linked life insurance contracts, North American Actuarial Journal 5 (2001), no. 2, 79-95. MR 2012038
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- A. V. Melnikov and M. L. Nechaev, On the calculations of flexible life insurance contracts in Gaussian financial environment (2003) (to appear).
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Additional Information:
A.
V.
Melnikov
Affiliation:
Steklov Mathematical Institute, Russian Academy of Sciences, Moscow, Russia
Address at time of publication:
Department of Mathematical and Statistical Sciences, University of Alberta, Edmonton, Canada
M.
M.
Moliboga
Affiliation:
Efficient Capital Management, LLC, Naperville, Illinois
Email:
marat@efficientcapital.com
V.
S.
Skornyakova
Affiliation:
Mercer Investment Consulting, Montreal, Canada
Email:
vskorn@shaw.ca
DOI:
10.1090/S0094-9000-07-00685-0
PII:
S 0094-9000(07)00685-0
Received by editor(s):
17/MAR/2003
Posted:
January 17, 2007
Additional Notes:
The first author was supported in part by NSERC grant G121210913
Copyright of article:
Copyright
2007,
American Mathematical Society
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