Valuing Equity-Linked Death Benefits on Multiple Life with Time until Death following a Kn Distribution
The purpose of this paper is to investigate the valuation of equity-linked death benefit contracts and the multiple life insurance on two heads based on a joint survival model. Using the exponential Wiener process assumption for the stock price process and a Kn distribution for the time until death,...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2023-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2023/9984786 |
| _version_ | 1797692134896173056 |
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| author | Franck Adékambi Essomanda Konzou |
| author_facet | Franck Adékambi Essomanda Konzou |
| author_sort | Franck Adékambi |
| collection | DOAJ |
| description | The purpose of this paper is to investigate the valuation of equity-linked death benefit contracts and the multiple life insurance on two heads based on a joint survival model. Using the exponential Wiener process assumption for the stock price process and a Kn distribution for the time until death, we provide explicit formulas for the expectation of the discounted payment of the guaranteed minimum death benefit products, and we derive closed expressions for some options and numerical illustrations. We investigate multiple life insurance based on a joint survival using the bivariate Sarmanov distribution with Kn (i.e., the Laplace transform of their density function is a ratio of two polynomials of degree at most) marginal distributions. We present analytical results of the joint-life status. |
| first_indexed | 2024-03-12T02:24:12Z |
| format | Article |
| id | doaj.art-8ca120dc0d374c05a034af7cc139f88c |
| institution | Directory Open Access Journal |
| issn | 1687-0042 |
| language | English |
| last_indexed | 2024-03-12T02:24:12Z |
| publishDate | 2023-01-01 |
| publisher | Hindawi Limited |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj.art-8ca120dc0d374c05a034af7cc139f88c2023-09-06T00:00:01ZengHindawi LimitedJournal of Applied Mathematics1687-00422023-01-01202310.1155/2023/9984786Valuing Equity-Linked Death Benefits on Multiple Life with Time until Death following a Kn DistributionFranck Adékambi0Essomanda Konzou1School of EconomicsSchool of EconomicsThe purpose of this paper is to investigate the valuation of equity-linked death benefit contracts and the multiple life insurance on two heads based on a joint survival model. Using the exponential Wiener process assumption for the stock price process and a Kn distribution for the time until death, we provide explicit formulas for the expectation of the discounted payment of the guaranteed minimum death benefit products, and we derive closed expressions for some options and numerical illustrations. We investigate multiple life insurance based on a joint survival using the bivariate Sarmanov distribution with Kn (i.e., the Laplace transform of their density function is a ratio of two polynomials of degree at most) marginal distributions. We present analytical results of the joint-life status.http://dx.doi.org/10.1155/2023/9984786 |
| spellingShingle | Franck Adékambi Essomanda Konzou Valuing Equity-Linked Death Benefits on Multiple Life with Time until Death following a Kn Distribution Journal of Applied Mathematics |
| title | Valuing Equity-Linked Death Benefits on Multiple Life with Time until Death following a Kn Distribution |
| title_full | Valuing Equity-Linked Death Benefits on Multiple Life with Time until Death following a Kn Distribution |
| title_fullStr | Valuing Equity-Linked Death Benefits on Multiple Life with Time until Death following a Kn Distribution |
| title_full_unstemmed | Valuing Equity-Linked Death Benefits on Multiple Life with Time until Death following a Kn Distribution |
| title_short | Valuing Equity-Linked Death Benefits on Multiple Life with Time until Death following a Kn Distribution |
| title_sort | valuing equity linked death benefits on multiple life with time until death following a kn distribution |
| url | http://dx.doi.org/10.1155/2023/9984786 |
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