EQUILIBRIUM PRICES OF GUARANTEES UNDER UNIT-LINKED LIFE INSURANCE CONTRACTS

The guarantee under a unit-linked contract can be viewed as an option exercisable at the maturity date entitling the policyholder to the greater of the value of the units or the guaranteed amount. The principles of the Option Pricing Model were employed to derive the equilibrium premium for both a s...

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Bibliographic Details
Published inKnowledge horizons : economics Vol. 9; no. 2; pp. 47 - 53
Main Authors Chis, Diana-Maria, Ciumas, Cristina, Corovei, Emilia-Anuta
Format Journal Article
LanguageEnglish
Published Bucharest Dimitrie Cantemir Christian University 01.04.2017
Subjects
Annuities
Archives & records
Economic models
Equity indexed annuities
Guarantees
Hedging
Insurance companies
Insurance policies
Insurance premiums
Investment policy
Investments
Life insurance
Market equilibrium
Mathematics
Policyholders
Theory
Values
Canada
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Summary:The guarantee under a unit-linked contract can be viewed as an option exercisable at the maturity date entitling the policyholder to the greater of the value of the units or the guaranteed amount. The principles of the Option Pricing Model were employed to derive the equilibrium premium for both a single-premium contract and a periodic-premium contract and some numerical simulation were presented. The aim of this study is to determine the equilibrium values of guarantees on single premium contracts and regular premium contracts. Also this research prescribes an optimal investment policy for the insurance company selling these policies
ISSN:2069-0932
2066-1061