A stochastic control model for pricing the guaranteed equity-linked insurance

被引：0
|
作者：
Xu, Zhijun [1 ]
Wang, Qi [1 ]
Chen, Huodi [1 ]
机构：
[1] East China Institute of Technology, Fuzhou 344000, China
来源：
2010 International Conference on Management and Service Science, MASS 2010 | 2010年
关键词：
Compendex;
D O I：
5578299
中图分类号：
学科分类号：
摘要：
Stochastic systems
引用
收藏
相关论文
共 50 条
  • [1] EQUITY-LINKED LIFE-INSURANCE - A MODEL WITH STOCHASTIC INTEREST-RATES
    NIELSEN, JA
    SANDMANN, K
    INSURANCE MATHEMATICS & ECONOMICS, 1995, 16 (03): : 225 - 253
  • [2] Pricing of long dated equity-linked life insurance contracts
    Chan, Leunglung
    Platen, Eckhard
    STOCHASTIC ANALYSIS AND APPLICATIONS, 2016, 34 (02) : 339 - 355
  • [3] PRICING EQUITY-LINKED LIFE-INSURANCE WITH ENDOGENOUS MINIMUM GUARANTEES
    BACINELLO, AR
    ORTU, F
    INSURANCE MATHEMATICS & ECONOMICS, 1993, 12 (03): : 245 - 257
  • [4] On the premium of equity-linked insurance contracts
    Balbas, Beatriz
    Balbas, Raquel
    ANALES DEL INSTITUTO DE ACTUARIOS ESPANOLES, 2010, (16): : 25 - 42
  • [5] PRICING OF EQUITY-LINKED LIFE-INSURANCE POLICIES WITH AN ASSET VALUE GUARANTEE
    BRENNAN, MJ
    SCHWARTZ, ES
    JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (03) : 195 - 213
  • [6] Pricing of premiums for equity-linked life insurance based on joint mortality models
    Riaman
    Parmikanti, K.
    Irianingsih, I.
    Supian, S.
    INDONESIAN OPERATIONS RESEARCH ASSOCIATION - INTERNATIONAL CONFERENCE ON OPERATIONS RESEARCH 2017, 2018, 332
  • [7] VALUATION OF GUARANTEED EQUITY-LINKED LIFE INSURANCE UNDER REGIME-SWITCHING MODELS
    Liu, R. H.
    Zhang, Q.
    DYNAMIC SYSTEMS AND APPLICATIONS, 2011, 20 (01): : 101 - 127
  • [8] Endogenous model of surrender conditions in equity-linked life insurance
    Bacinello, AR
    INSURANCE MATHEMATICS & ECONOMICS, 2005, 37 (02): : 270 - 296
  • [9] EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
    Melnikov, Alexander
    Romanyuk, Yuliya
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2008, 11 (03) : 295 - 323
  • [10] Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
    Barigou, Karim
    Delong, Lukasz
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2022, 404
12345