Analytical formulas evaluating the moments of the present values of guaranteed benefits embedded in Unit Linked life insurance policies and their exercise probabilities are found. Such guarantees are given in the case of insured's death or in the case of surrender, with the surrender conditions contractually settled. Some results proposed in Carr (1998) are generalized in several directions and in particular the absence of arbitrage opportunity hypothesis is removed.
Analytical formulas for options embedded in life insurance policies / L. Vannucci; E. Vannucci. - In: GIORNALE DELL'ISTITUTO ITALIANO DEGLI ATTUARI. - ISSN 0390-5780. - STAMPA. - LXXII:(2009), pp. 1-21.
Analytical formulas for options embedded in life insurance policies
VANNUCCI, LUIGI;
2009
Abstract
Analytical formulas evaluating the moments of the present values of guaranteed benefits embedded in Unit Linked life insurance policies and their exercise probabilities are found. Such guarantees are given in the case of insured's death or in the case of surrender, with the surrender conditions contractually settled. Some results proposed in Carr (1998) are generalized in several directions and in particular the absence of arbitrage opportunity hypothesis is removed.
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