Pricing equity-linked life insurance with endogenous minimum guarantees

Evaluating the performance of Gompertz, Makeham and Lee–Carter mortality models for risk management with unit-linked contracts

“…Unit-linked and, more generally, equity-linked life insurance contracts have been studied since the 1970s (Aase and Persson, 1994;Bacinello and Ortu, 1993;Boyle and Hardy, 1997;Brennan and Schwartz, 1976;Ekern and Persson, 1996;Moeller, 1998). The payoff in such contracts depends on the performance of some risky asset (such as a stock index) and some event in the life of the insured client (survival to maturity of contract, accident, retirement, death, etc.).…”

Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance

“…Bacinello and Ortu (1993) and Nielsen and Sandmann (1995, 1996a,b, 2002b analyze the periodic premium contract with maturity guarantee from a fair premium principle perspective.…”

Endogenous model of surrender conditions in equity-linked life insurance

“…In this particular case we extend our previous analysis in order to take into account the possibility that the minimum guarantees at death or maturity and the cash surrender values are endogenously determined, and provide necessary and sufficient conditions for the premiums to be well defined. Here the terms exogenous and endogenous are used with the same meaning given them by Bacinello and Ortu (1993).…”

“…The existence of a unique premium in the endogenous case for the European version of the contract is guaranteed by the condition δ < r whatever the stochastic model followed by the unit price S t may be (seeBacinello and Ortu, 1993).…”