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Equity--Linked Life Insurances on Maximum of Several Assets

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  • Battulga Gankhuu

Abstract

This paper presents pricing and hedging methods for segregated funds and unit-linked life insurance products that are based on a Bayesian Markov--Switching Vector Autoregressive (MS--VAR) process. Here we assumed that a regime-switching process is generated by a homogeneous Markov process and a residual process follows a heteroscedastic model. An advantage of our model is it depends on economic variables and is not complicated.

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  • Battulga Gankhuu, 2021. "Equity--Linked Life Insurances on Maximum of Several Assets," Papers 2111.04038, arXiv.org, revised Aug 2023.
    • Handle: RePEc:arx:papers:2111.04038
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