Michael Kirch,Alexander Melnikov.Efficient hedging and pricingof life insurance policies in a jump-diffusion model. StochasticAnalysis andApplications . 2005M. Kirch and A. Melnikov, Efficient hedging and pricing of life insurance policies in a jump-diffusion model, Stochastic Analysis and Applications,...
principle of equivalenceThe key feature of unit-linked or equity-linked life insurance policies is the uncertain value of the future insurance benefit. By issuing unit-linked insurances that guarantees the policy-holder a minimum benefit, the insurance company is exposed to financial risk. The ...
2) term life insurance 定期人寿保险 1. In this paper ruin probability in the term life insurance is studied, we give the formula of ruin probability. 利用风险理论,对定期人寿保险模型进行了研究,得到了定期人寿保险模型的破产概率的表达式。 2. In this paper ruin probabilities in the term life ...
Insurance companies base their business models on three fundamental principles: pooling many risks, building a fund from premiums paid by policyholders, and then using this fund to reimburse policyholders for their losses if a policyholder passes away. That is to say; life insu...
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The paper uses the efficient hedging methodology in order to optimally price and hedge equity-linked life insurance contracts whose payoff depends on the performance of several risky assets. In particular, we consider a policy which pays the maximum of the values of n risky assets at some maturit...
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