Pricing unit-linked insurance with guaranteed benefit

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

Unit-linked insurance is an investment-linked insurance, that is, the given benefit is the premium investment out-come. Recently, the most widely marketed insurance in the industry is unit-linked insurance with guaranteed benefit. With guaranteed benefit applied, the insurance benefits form is similar to the payoff form of European call option. Thereby, pricing European call option is involved in pricing unit-linked insurance with guaranteed benefit. The dynamics of investment outcome is assumed to follow stochastic interest rate. Hence, change of measure methods is used in pricing unit-linked insurance. The discount factor with stochastic interest rate needs to be modified as well to be zero coupon bond price. Eventually, the insurance premium is calculated by equivalence principle with guaranteed benefit and insurance period explicitly given.

Original languageEnglish
Title of host publicationInternational Symposium on Current Progress in Mathematics and Sciences 2016, ISCPMS 2016
Subtitle of host publicationProceedings of the 2nd International Symposium on Current Progress in Mathematics and Sciences 2016
EditorsKiki Ariyanti Sugeng, Djoko Triyono, Terry Mart
PublisherAmerican Institute of Physics Inc.
ISBN (Electronic)9780735415362
DOIs
Publication statusPublished - 10 Jul 2017
Event2nd International Symposium on Current Progress in Mathematics and Sciences 2016, ISCPMS 2016 - Depok, Jawa Barat, Indonesia
Duration: 1 Nov 20162 Nov 2016

Publication series

NameAIP Conference Proceedings
Volume1862
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Conference

Conference2nd International Symposium on Current Progress in Mathematics and Sciences 2016, ISCPMS 2016
CountryIndonesia
CityDepok, Jawa Barat
Period1/11/162/11/16

Fingerprint Dive into the research topics of 'Pricing unit-linked insurance with guaranteed benefit'. Together they form a unique fingerprint.

Cite this