New international accounting standards require insurers to reflect the value of embedded options and guarantees in their products. Pric- ing techniques based on the Black & Scholes paradigm are often used, however, the hypotheses underneath this model are rarely met. We propose a framework that...

Life insurance products are usually equipped with minimum guarantee and bonus provision options. The pricing of such claims is of vital importance for the insurance industry. Risk management, strategic asset allocation, and product design depend on the correct evaluation of the written options....

Life insurance products are usually equipped with minimum guarantee and bonus provision options. The pricing of such claims is of vital importance for the insurance industry. Risk management, strategic asset allocation, and product design depend on the correct evaluation of the written options....

New international accounting standards requires insurers to reflect the value of embedded options and guarantees in their products. Pricing techniques based on the Black amp; Scholes paradigm are often used, however, the hypotheses underneath this model are rarely met.We propose a framework that...