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Design and pricing of equity-linked life insurance under stochastic interest rates

Bacinello, Anna Rita; Persson, Svein-Arne
Working paper
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bacinello anna rita 1598.pdf (228.2Kb)
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http://hdl.handle.net/11250/163829
Utgivelsesdato
1998-11
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  • Discussion papers (FOR) [593]
Sammendrag
A valuation model for equity-linked life insurance contracts incorporating stochastic interest rates is presented. Our model generalizes some previous pricing results based on deterministic interest rates. Moreover, a design of a new equity-linked product with some appealing features is proposed and compared with the periodical premium contract of Brennan and Schwartz (1976). Our new product is very simple to price and may easily be hedged either by long positions in the mutual fund of linkage or by European call options on the same fund.
Beskrivelse
First draft: October 1997
Utgiver
Norwegian School of Economics and Business Administration. Department of Finance and Management Science
Serie
Discussion paper
1998:15

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