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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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Detalles Bibliográficos
Autor principal: Villarroel, Javier
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Hindawi Publishing Corporation 2014
Materias:
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
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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.
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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
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