Template-Type:ReDIF-Paper 1.0  
Title:Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts
Author-Name: Nielsen, J. Aase
Author-Name: Klaus Sandmann
Classification-JEL:G13 
Keywords:Asian option, forward risk adjusted measure, Monte Carlo simulations, life insurance, stochastic interest
	rates 
Abstract:An equity-linked life insurance contract combines an endowment life insurance and an investment strategy
	with a minimum guarantee. The benefit of this contract is determined by the guaranteed amount plus a bonus equal to
	a call on the portfolio. This bonus is similar to an Asian option. We analyze the relationship between the periodic
	insurance premium and its proportional share invested into the portfolio. For a general model of the financial risks we
	show the existence and uniqueness of an insurance premium. Furthermore the premium is strictly increasing and
	convex as a function of the share invested. An earlier version of this paper was presented under the title Security
	Linked Life Policies under Stochastic Interest Rates . 
Length: pages
Creation-Date: 1995-09
Revision-Date: 1996-03
Handle: RePEc:bon:bonsfb:327
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonsfb/bonsfb327.pdf
File-Format: application/pdf
File-Size:  467178 bytes