TY - GEN
T1 - Pricing unit-linked insurance with guaranteed benefit
AU - Iqbal, M.
AU - Novkaniza, F.
AU - Novita, M.
N1 - Publisher Copyright:
© 2017 Author(s).
PY - 2017/7/10
Y1 - 2017/7/10
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=85026240769&partnerID=8YFLogxK
U2 - 10.1063/1.4991243
DO - 10.1063/1.4991243
M3 - Conference contribution
AN - SCOPUS:85026240769
T3 - AIP Conference Proceedings
BT - International Symposium on Current Progress in Mathematics and Sciences 2016, ISCPMS 2016
A2 - Sugeng, Kiki Ariyanti
A2 - Triyono, Djoko
A2 - Mart, Terry
PB - American Institute of Physics Inc.
T2 - 2nd International Symposium on Current Progress in Mathematics and Sciences 2016, ISCPMS 2016
Y2 - 1 November 2016 through 2 November 2016
ER -