Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance

David F. Schrager*, Antoon A.J. Pelsser

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

21 Citations (Web of Science)
Original languageEnglish
Pages (from-to)369-398
Number of pages30
JournalInsurance: Mathematics and Economics
Volume35
Issue number2
DOIs
Publication statusPublished - 11 Oct 2004
Externally publishedYes
Event7th International Congress on Insurance - Lyon, France
Duration: 25 Jun 200327 Jun 2003

Keywords

  • return guarantee
  • average rate option
  • convexity correction
  • LIBOR Market Model
  • STOCHASTIC INTEREST-RATES
  • LIFE-INSURANCE
  • ACTUARIAL SCIENCE
  • ASIAN OPTIONS
  • COMONOTONICITY
  • DERIVATIVES
  • SECURITIES
  • FINANCE
  • MODEL
  • SUM

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