Valuation of Endowment-Insurance Equity-Linked Contracts for Stocks with Exotic Dynamics

We consider the fair martingale prize of insurance contracts with benefit received either at the insurer's demise or at maturity. We show how to modify the dynamics of the underlying so as to incorporate the possibility that the traded stock has a strong support at some level. The resulting dyn...

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Detalles Bibliográficos
Autor principal: Villarroel, Javier
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Hindawi Publishing Corporation 2014
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3942354/
https://www.ncbi.nlm.nih.gov/pubmed/24672305
http://dx.doi.org/10.1155/2014/314286
Descripción
Sumario:We consider the fair martingale prize of insurance contracts with benefit received either at the insurer's demise or at maturity. We show how to modify the dynamics of the underlying so as to incorporate the possibility that the traded stock has a strong support at some level. The resulting dynamics is integrated and the fair prize of several natural endowment-insurance contracts is obtained.

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