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

dc.contributor.author	Bacinello, Anna Rita
dc.contributor.author	Persson, Svein-Arne
dc.date.accessioned	2006-07-18T09:30:04Z
dc.date.available	2006-07-18T09:30:04Z
dc.date.issued	1998-11
dc.identifier.issn	1500-4066
dc.identifier.uri	http://hdl.handle.net/11250/163829
dc.description	First draft: October 1997	en
dc.description.abstract	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.	en
dc.format.extent	233754 bytes
dc.format.mimetype	application/pdf
dc.language.iso	eng	en
dc.publisher	Norwegian School of Economics and Business Administration. Department of Finance and Management Science	en
dc.relation.ispartofseries	Discussion paper	en
dc.relation.ispartofseries	1998:15	en
dc.title	Design and pricing of equity-linked life insurance under stochastic interest rates	en
dc.type	Working paper	en