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Author Info
Antje B. Mahayni
Klaus Sandmann

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Abstract

A unit-linked insurance contract can be formulated in terms of a guaranteed amount together with a fraction of a positive excess return of a benchmark portfolio. Normally, the excess return is determined annually and accumulated until the maturity of the contract. The accumulation factor that is granted with respect to the delayed payments can either be deterministic or equal to the (stochastic) bank account. It turns out that the common choice of a deterministic accumulation factor gives rise to problems concerning the pricing and the risk management of the insurance contract. Copyright 2008 The Authors.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1468-0475.2008.00431.x
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Article provided by Blackwell Publishing in its journal German Economic Review.

Volume (Year): 9 (2008)
Issue (Month): (05)
Pages: 207-231
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Handle: RePEc:bla:germec:v:9:y:2008:i::p:207-231

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This page was last updated on 2009-11-22.

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