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.
|Title of host publication
|International Symposium on Current Progress in Mathematics and Sciences 2016, ISCPMS 2016
|Subtitle of host publication
|Proceedings of the 2nd International Symposium on Current Progress in Mathematics and Sciences 2016
|Kiki Ariyanti Sugeng, Djoko Triyono, Terry Mart
|American Institute of Physics Inc.
|Published - 10 Jul 2017
|2nd International Symposium on Current Progress in Mathematics and Sciences 2016, ISCPMS 2016 - Depok, Jawa Barat, Indonesia
Duration: 1 Nov 2016 → 2 Nov 2016
|AIP Conference Proceedings
|2nd International Symposium on Current Progress in Mathematics and Sciences 2016, ISCPMS 2016
|Depok, Jawa Barat
|1/11/16 → 2/11/16