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Pricing equity-linked life insurance contracts with minimum interest rate guarantee in partial equilibrium framework

Author

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  • Mao, Hong
  • Ostaszewski, Krzysztof M.

Abstract

In der vorliegenden Studie wird das Pricing aktiengebundener Lebensversicherungen mit Mindestgarantiezins in einem Gleichgewichtsmodell untersucht. Dazu werden Modelle zur Berechnung der Default-Option und der Ausfallwahrscheinlichkeiten eingeführt. Die Modelle binden Angebot- und Nachfrageüberlegungen, stochastische Zinssätze, stochastische Kapitalrenditen und Sterblichkeitsraten ein. Dabei basiert die betrachtete Zinsstruktur auf dem Cox, Ingersoll, Ross (1985) Modell. Der Einfluss der Startwerte der Default-Option auf die endgültigen Werte der Default-Option und der Ausfallwahrscheinlichkeiten wird numerisch analysiert, wobei die verwendeten numerischen Methoden eine hohe Konvergenzgeschwindigkeit und Robustheit im Hinblick auf die Startwerte der Defaultoption aufweisen. Es wird gezeigt, dass höhere garantierte Mindestrenditen zu höheren Ausfallwahrscheinlichkeiten, zu niedrigeren optimalen Kapitalwerten.

Suggested Citation

  • Mao, Hong & Ostaszewski, Krzysztof M., 2008. "Pricing equity-linked life insurance contracts with minimum interest rate guarantee in partial equilibrium framework," German Risk and Insurance Review (GRIR), University of Cologne, Department of Risk Management and Insurance, vol. 4(2), pages 27-52.
    • Handle: RePEc:zbw:grirej:68723
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    References listed on IDEAS

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    Cited by:

    1. Gao, Quansheng & He, Ting & Zhang, Chi, 2011. "Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy," Economic Modelling, Elsevier, vol. 28(1), pages 147-156.
    2. Gao, Quansheng & He, Ting & Zhang, Chi, 2011. "Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy," Economic Modelling, Elsevier, vol. 28(1-2), pages 147-156, January.

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