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  • Antje B. Mahayni
  • Klaus Sandmann

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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Article provided by Verein für Socialpolitik 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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  1. J. Aase Nielsen & Klaus Sandmann, 1996. "Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts," The Geneva Risk and Insurance Review, Palgrave Macmillan, vol. 21(1), pages 65-102, June.
  2. Antje Mahayni & Erik Schlögl, 2003. "The Risk Management of Minimum Return Guarantees," Bonn Econ Discussion Papers bgse18_2003, University of Bonn, Germany.
  3. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
  4. Antje Dudenhausen & Erik Schlögl & Lutz Schlögl, 1999. "Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives," Research Paper Series 19, Quantitative Finance Research Centre, University of Technology, Sydney.
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