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: | Yaodi Yong, Hailiang Yang |
---|---|
Format: | Article |
Language: | English |
Published: |
MDPI AG
2021-08-01
|
Series: | Mathematics |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-7390/9/16/2011 |
Similar Items
-
Cliquet option pricing in a jump-diffusion Lévy model
by: Markus Hess
Published: (2018-07-01) -
Cliquet option pricing with Meixner processes
by: Markus Hess
Published: (2018-02-01) -
Valuing Guaranteed Minimum Death Benefits by Cosine Series Expansion
by: Wenguang Yu, et al.
Published: (2019-09-01) -
A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework
by: Pavel V. Shevchenko, et al.
Published: (2016-07-01) -
Evaluation of variable annuity guarantees with the effect of jumps in the asset price process
by: Mussa Juma, et al.
Published: (2017-01-01)