Equity-linked insurances and guaranteed annuity options
AbstractWe consider here term and whole-life cases of the equity-linked life insurance(ELLI), and the guaranteed annuity option (GAO). We present a financial instrument which is a combination of ELLI and GAO in a stochastic interest rate framework.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 21658.
Date of creation: 08 Oct 2008
Date of revision:
equity-linked life insurance; guaranteed annuity option; geometric Brownian motion; Ornstein-Uhlenbeck process; Monte Carlo simulations;
Find related papers by JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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