Quantile hedging for equity-linked life insurance contracts with stochastic interest rate

Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy

Quantile hedging for equity-linked contracts

We consider an equity-linked contract whose payoff depends on the lifetime of policy holder and the stock price. We provide best strategy for an insurance company assuming the limited capital for the hedging.

Quantile hedging on equity-linked life insurance contracts with transaction costs

This paper analyzes the application of quantile hedging on equity-linked life insurance contracts in the presence of transaction costs. Following the time-based replication strategy, we present the explicit expressions for the present values of expected hedging errors and transaction costs. The results are derived by using the adjusted hedging volatility σ̄ proposed by Leland. Furthermore, the e...

Design and Pricing of Equity-Linked Life Insurance under Stochastic Interest Rates

A valuation model for equity-linked life insurance contracts incorporating stochastic interest rates is presented. Our model generalizes some previous pricing results based on deterministic interest rates. Moreover, a design of a new equity-linked product with some appealing features is proposed and compared with the periodical premium contract of Brennan and Schwartz (1976). Our new product is...

Risk - Neutral Valuation of Participating Life Insurance Contracts in a Stochastic Interest Rate Environment vorgelegt

Acknowledgements I would like to thank my advisor Daniel Bauer for giving me support at all stages of the thesis and for spending a lot of time and patience to answer questions and read my revisions. I am also very grateful to Ralf Leidenberger and Mario Rometsch for assisting with the numerics and implementation. Their dedication and support made it possible to complete the work in time. Furth...