Valuation of Cliquet-Style Guarantees with Death Benefits in Jump Diffusion Models
This paper aims to value the cliquet-style equity-linked insurance product with death benefits. Whether the insured dies before the contract maturity or not, a benefit payment to the beneficiary is due. The premium is invested in a financial asset, whose dynamics are assumed to follow an exponential...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2021-08-01
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Series: | Mathematics |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-7390/9/16/2011 |