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Equity-linked insurances and guaranteed annuity options

Author

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  • Burnecki, Krzysztof
  • Pazdan-Siudeja, Liliana

Abstract

We 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.

Suggested Citation

  • Burnecki, Krzysztof & Pazdan-Siudeja, Liliana, 2008. "Equity-linked insurances and guaranteed annuity options," MPRA Paper 21658, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:21658
    as

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    File URL: https://mpra.ub.uni-muenchen.de/21658/1/MPRA_paper_21658.pdf
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    References listed on IDEAS

    as
    1. Aase Nielsen, J. & Sandmann, Klaus, 1995. "Equity-linked life insurance: A model with stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 16(3), pages 225-253, July.
    2. Brennan, Michael J & Schwartz, Eduardo S, 1979. "Alternative Investment Strategies for the Issuers of Equity Linked Life Insurance Policies with an Asset Value Guarantee," The Journal of Business, University of Chicago Press, vol. 52(1), pages 63-93, January.
    3. Ballotta, Laura & Haberman, Steven, 2003. "Valuation of guaranteed annuity conversion options," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 87-108, August.
    4. Bacinello, Anna Rita & Ortu, Fulvio, 1993. "Pricing equity-linked life insurance with endogenous minimum guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 12(3), pages 245-257, June.
    5. 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.
    6. 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;International Association for the Study of Insurance Economics (The Geneva Association), vol. 21(1), pages 65-102, June.
    7. Bacinello, Anna Rita & Ortu, Fulvio, 1993. "Pricing equity-linked life insurance with endogenous minimum guarantees : A corrigendum," Insurance: Mathematics and Economics, Elsevier, vol. 13(3), pages 303-304, December.
    8. Ballotta, Laura & Haberman, Steven, 2006. "The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 195-214, February.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    equity-linked life insurance; guaranteed annuity option; geometric Brownian motion; Ornstein-Uhlenbeck process; Monte Carlo simulations;
    All these keywords.

    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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