Analytical formulas for evaluating the integer moments of the present value of guaranteed benefits embedded in Unit Linked life insurance policies and their exercise probabilities are found. Such guarantees are given in the case of insured's death or in the case of surrender, with the surrender conditions contractually settled. Some results proposed in Carr (1998) are generalized in several directions and in particular the absence of arbitrage opportunity hypothesis is removed.
Analytical Formulas for Option Embedded in Life Insurance Policies
VANNUCCI, EMANUELE;
2009-01-01
Abstract
Analytical formulas for evaluating the integer moments of the present value of guaranteed benefits embedded in Unit Linked life insurance policies and their exercise probabilities are found. Such guarantees are given in the case of insured's death or in the case of surrender, with the surrender conditions contractually settled. Some results proposed in Carr (1998) are generalized in several directions and in particular the absence of arbitrage opportunity hypothesis is removed.File in questo prodotto:
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