Exotic Unit-Linked Life Insurance Contracts

Steinar Ekern and Svein-Arne Persson
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Svein-Arne Persson: Norwegian School of Economics and Business Administration, Institute of Finance and Management Science, Helleveien 30, N-5035 Bergen-Sandviken Norway

The Geneva Risk and Insurance Review, 1996, vol. 21, issue 1, 35-63

Abstract: This article integrates aspects of traditional insurance with advances in financial economics, yielding proper valuation and premium assessments of insurance benefits linked to various financial assets. Several new types of unit-linked life insurance contracts are discussed, with substantial potential for real-life applications. Compared to usual unit-linked products, these contracts offer added flexibility and/or altered exposure to financial risk for the insured and/or the insurer. The single premiums of these policies are calculated as expectations under a risk-adjusted probability measure (equivalent martingale measure), satisfying no-arbitrage conditions in financial markets. The Geneva Papers on Risk and Insurance Theory (1996) 21, 35–63. doi:10.1007/BF00949050

Date: 1996
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