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Pricing equity-linked pure endowments via the principle of equivalent utility


  • Moore, Kristen S.
  • Young, Virginia R.


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Suggested Citation

  • Moore, Kristen S. & Young, Virginia R., 2003. "Pricing equity-linked pure endowments via the principle of equivalent utility," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 497-516, December.
  • Handle: RePEc:eee:insuma:v:33:y:2003:i:3:p:497-516

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    References listed on IDEAS

    1. Brennan, Michael J. & Schwartz, Eduardo S., 1976. "The pricing of equity-linked life insurance policies with an asset value guarantee," Journal of Financial Economics, Elsevier, vol. 3(3), pages 195-213, June.
    2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    3. Shaun, Wang, 1995. "Insurance pricing and increased limits ratemaking by proportional hazards transforms," Insurance: Mathematics and Economics, Elsevier, vol. 17(1), pages 43-54, August.
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    Cited by:

    1. Andrea Consiglio & Domenico De Giovanni, 2010. "Pricing the Option to Surrender in Incomplete Markets," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(4), pages 935-957.
    2. Consiglio, Andrea & De Giovanni, Domenico, 2008. "Evaluation of insurance products with guarantee in incomplete markets," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 332-342, February.
    3. Jaimungal, Sebastian & Young, Virginia R., 2005. "Pricing equity-linked pure endowments with risky assets that follow Lévy processes," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 329-346, June.
    4. Kevin Fergusson & Eckhard Platen, 2013. "Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees," Research Paper Series 338, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.
    6. Chen, Mi & Peng, Xiaofan & Guo, Junyi, 2013. "Optimal dividend problem with a nonlinear regular-singular stochastic control," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 448-456.
    7. Kevin Fergusson & Eckhard Platen, 2017. "Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity," Papers 1711.02808,
    8. repec:eee:insuma:v:77:y:2017:i:c:p:119-132 is not listed on IDEAS
    9. Wei, Jiaqin & Wang, Rongming & Yang, Hailiang, 2012. "Optimal surrender strategies for equity-indexed annuity investors with partial information," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1251-1258.

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