Equity-linked insurances and guaranteed annuity options

Krzysztof Burnecki and Liliana Pazdan-Siudeja

MPRA Paper from University Library of Munich, Germany

Abstract: We consider here term and whole-life cases of the equity-linked life insurance(ELLI), and the guaranteed annuity option (GAO). We present a financial instrument which is a combination of ELLI and GAO in a stochastic interest rate framework.

Keywords: equity-linked life insurance; guaranteed annuity option; geometric Brownian motion; Ornstein-Uhlenbeck process; Monte Carlo simulations (search for similar items in EconPapers)
JEL-codes: C15 C51 (search for similar items in EconPapers)
Date: 2008-10-08
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:21658

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