Pricing of multi-period rate of return guarantees

被引：8

作者：

Lindset, S ^{[1
]}

机构：

[1] Norwegian Univ Sci & Technol, Dept Ind Econ & Technol Management, N-7491 Trondheim, Norway

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2003年 / 33卷 / 03期

关键词：

multi-period rate of return guarantees; Heath; Jarrow and Morton term structure model of interest rates;

D O I：

10.1016/j.insmatheco.2003.09.004

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The basis for this paper is the pricing of multi-period rate of return guarantees. These guarantees can typically be found in life insurance and pension contracts. We derive closed form solutions, expressed by the cumulative multivariate normal probability distribution, for multi-period rate of return guarantees on both a money market account and a stock. The guarantees of Hipp (1996), Persson and Aase (1997), and Miltersen and Persson (1999) [Options for guaranteed index-linked life insurance, in: Proceedings of the AFIR 1996, 1996, pp. 1463-1483; J. Risk Insur. 64 (4) (1997) 599; Insur.: Math. Econ. 25 (3) (1999) 307] are special cases of our results. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：629 / 644

页数：16

共 22 条

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