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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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Formato: | Online Artículo Texto |
Lenguaje: | English |
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Hindawi Publishing Corporation
2014
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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 |
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author | Villarroel, Javier |
author_facet | Villarroel, Javier |
author_sort | Villarroel, Javier |
collection | PubMed |
description | 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. |
format | Online Article Text |
id | pubmed-3942354 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2014 |
publisher | Hindawi Publishing Corporation |
record_format | MEDLINE/PubMed |
spelling | pubmed-39423542014-03-26 Valuation of Endowment-Insurance Equity-Linked Contracts for Stocks with Exotic Dynamics Villarroel, Javier ScientificWorldJournal Research Article 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. Hindawi Publishing Corporation 2014-02-11 /pmc/articles/PMC3942354/ /pubmed/24672305 http://dx.doi.org/10.1155/2014/314286 Text en Copyright © 2014 Javier Villarroel. https://creativecommons.org/licenses/by/3.0/ This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. |
spellingShingle | Research Article Villarroel, Javier Valuation of Endowment-Insurance Equity-Linked Contracts for Stocks with Exotic Dynamics |
title | Valuation of Endowment-Insurance Equity-Linked Contracts for Stocks with Exotic Dynamics |
title_full | Valuation of Endowment-Insurance Equity-Linked Contracts for Stocks with Exotic Dynamics |
title_fullStr | Valuation of Endowment-Insurance Equity-Linked Contracts for Stocks with Exotic Dynamics |
title_full_unstemmed | Valuation of Endowment-Insurance Equity-Linked Contracts for Stocks with Exotic Dynamics |
title_short | Valuation of Endowment-Insurance Equity-Linked Contracts for Stocks with Exotic Dynamics |
title_sort | valuation of endowment-insurance equity-linked contracts for stocks with exotic dynamics |
topic | Research Article |
url | 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 |
work_keys_str_mv | AT villarroeljavier valuationofendowmentinsuranceequitylinkedcontractsforstockswithexoticdynamics |