Variance and Interest Rate Risk in Unit-Linked Insurance Policies

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 f...

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Bibliographic Details
Main Authors: David Baños, Marc Lagunas-Merino, Salvador Ortiz-Latorre
Format: Article
Language:English
Published: MDPI AG 2020-08-01
Series:Risks
Subjects:
unit-linked policies
pure endowment
term insurance
stochastic volatility models
stochastic interest rates
Online Access:https://www.mdpi.com/2227-9091/8/3/84

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