Artikel
Variance and interest rate risk in unit-linked insurance policies
One of the risks derived from selling long-term policies that any insurance company has arises from interest rates. In this paper, we consider a general class of stochastic volatility models written in forward variance form. We also deal with stochastic interest rates to obtain the risk-free price for unit-linked life insurance contracts, as well as providing a perfect hedging strategy by completing the market. We conclude with a simulation experiment, where we price unit-linked policies using Norwegian mortality rates. In addition, we compare prices for the classical Black-Scholes model against the Heston stochastic volatility model with a Vasicek interest rate model.
- Sprache
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Englisch
- Erschienen in
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 8 ; Year: 2020 ; Issue: 3 ; Pages: 1-23 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
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unit-linked policies
pure endowment
term insurance
stochastic volatility models
stochastic interest rates
- Ereignis
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Geistige Schöpfung
- (wer)
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Baños, David
Lagunas-Merino, Marc
Ortiz-Latorre, Salvador
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
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2020
- DOI
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doi:10.3390/risks8030084
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:46 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Baños, David
- Lagunas-Merino, Marc
- Ortiz-Latorre, Salvador
- MDPI
Entstanden
- 2020
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