Abstract
We consider the problem of computing fair periodical premiums of equity-linked policies with a minimum guarantee. The policy payoff at maturity may be decomposed into two components: a fixed part representing the guaranteed payment and a European call option written on the equity reference fund. The deemed periodical contributions into the reference fund may be considered as negative dividends paid by the reference fund and the fair value of the policy may be derived through a closed-form formula by mimicking the valuation of an option written on an underlying security that pays fixed dividends. Numerical results show that the proposed model computes accurate values.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
