Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts
AbstractAn equity-linked life insurance contract combines an endowment life insurance and an investment strategy with a minimum guarantee. The benefit of this contract is determined by the guaranteed amount plus a bonus equal to a call on the portfolio. This bonus is similar to an Asian option. This article analyzes the relationship between the periodic insurance premium and its proportional share invested into the portfolio. For a general model of the financial risks we show the existence and uniqueness of an insurance premium. Furthermore the premium is strictly increasing and convex as a function of the share invested. The Geneva Papers on Risk and Insurance Theory (1996) 21, 65–102. doi:10.1007/BF00949051
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Bibliographic InfoArticle provided by Palgrave Macmillan in its journal The Geneva Papers on Risk and Insurance Theory.
Volume (Year): 21 (1996)
Issue (Month): 1 (June)
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Other versions of this item:
- Nielsen, J. Aase & Klaus Sandmann, 1995. "Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts," Discussion Paper Serie B 327, University of Bonn, Germany, revised Mar 1996.
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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