Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance

David F. Schrager; Antoon A.J. Pelsser

doi:10.1016/j.insmatheco.2004.07.003

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 journal › Article › Academic › peer-review

21 Citations (Web of Science)

Original language	English
Pages (from-to)	369-398
Number of pages	30
Journal	Insurance: Mathematics and Economics
Volume	35
Issue number	2
DOIs	https://doi.org/10.1016/j.insmatheco.2004.07.003
Publication status	Published - 11 Oct 2004
Externally published	Yes
Event	7th International Congress on Insurance - Lyon, France Duration: 25 Jun 2003 → 27 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

Access to Document

10.1016/j.insmatheco.2004.07.003

Cite this

@article{5cc52b62c60b456d822a077eeacb9575,

title = "Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance",

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",

author = "Schrager, {David F.} and Pelsser, {Antoon A.J.}",

year = "2004",

month = oct,

day = "11",

doi = "10.1016/j.insmatheco.2004.07.003",

language = "English",

volume = "35",

pages = "369--398",

journal = "Insurance: Mathematics and Economics",

issn = "0167-6687",

publisher = "Elsevier",

number = "2",

note = "7th International Congress on Insurance ; Conference date: 25-06-2003 Through 27-06-2003",

}

TY - JOUR

T1 - Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance

AU - Schrager, David F.

AU - Pelsser, Antoon A.J.

PY - 2004/10/11

Y1 - 2004/10/11

KW - return guarantee

KW - average rate option

KW - convexity correction

KW - LIBOR Market Model

KW - STOCHASTIC INTEREST-RATES

KW - LIFE-INSURANCE

KW - ACTUARIAL SCIENCE

KW - ASIAN OPTIONS

KW - COMONOTONICITY

KW - DERIVATIVES

KW - SECURITIES

KW - FINANCE

KW - MODEL

KW - SUM

U2 - 10.1016/j.insmatheco.2004.07.003

DO - 10.1016/j.insmatheco.2004.07.003

M3 - Article

VL - 35

SP - 369

EP - 398

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

SN - 0167-6687

IS - 2

T2 - 7th International Congress on Insurance

Y2 - 25 June 2003 through 27 June 2003

ER -