![Endogenous model of surrender conditions in equity-linked life insurance [An article from: Insurance Mathematics and Economics]](https://www.ebooknetworking.net/books/B00/0RR/bigB000RR56DM.jpg)
Endogenous model of surrender conditions in equity-linked life insurance [An article from: Insurance Mathematics and Economics]
Book Details
Author(s)
Bacinello, A.R.
Publisher
Elsevier
ISBN / ASIN
B000RR56DM
ISBN-13
978B000RR56D1
Availability
Available for download now.
Marketplace
United States 🇺🇸
Description
This digital document is a journal article from Insurance Mathematics and Economics, published by Elsevier in . The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
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.
Description:
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.
