Vis enkel innførsel

dc.contributor.authorBacinello, Anna Rita
dc.contributor.authorPersson, Svein-Arne
dc.date.accessioned2006-07-18T09:30:04Z
dc.date.available2006-07-18T09:30:04Z
dc.date.issued1998-11
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/163829
dc.descriptionFirst draft: October 1997en
dc.description.abstractA 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.extent233754 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoengen
dc.publisherNorwegian School of Economics and Business Administration. Department of Finance and Management Scienceen
dc.relation.ispartofseriesDiscussion paperen
dc.relation.ispartofseries1998:15en
dc.titleDesign and pricing of equity-linked life insurance under stochastic interest ratesen
dc.typeWorking paperen


Tilhørende fil(er)

Thumbnail

Denne innførselen finnes i følgende samling(er)

Vis enkel innførsel