Journal of Financial Economics Vol. 3 No. 3 1976
The pricing of equity-linked life insurance policies with an asset value guarantee
Abstract
This paper considers the equilibrium pricing of equity-linked life insurance policies with an asset value guarantee; such policies provide for benefits which depend upon the performance of a reference portfolio subject to a minimum guaranteed benefit. The benefit is decomposed into a sure amount and an immediately exercisable call option on the reference portfolio. A numerical procedure for determining the value of the call option is presented and the risk minimizing investment strategy to be followed by the issuer of the policy is derived.
- DOI
- 10.1016/0304-405x(76)90003-9
- Volume
- 3
- Issue
- 3
- Pages
- 195-213
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref