Valuation of Cliquet-Style Guarantees with Death Benefits in Jump Diffusion Models
This paper aims to value the cliquet-style equity-linked insurance product with death benefits. Whether the insured dies before the contract maturity or not, a benefit payment to the beneficiary is due. The premium is invested in a financial asset, whose dynamics are assumed to follow an exponential...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-08-01
|
| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/9/16/2011 |