Hilpert, Christian; Li, Jing; Szimayer, Alexander - University of Bonn, Germany - 2011
We study the effect of secondary markets on equity-linked life insurance contracts with surrender guarantees. The … policyholders are assumed to be boundedly rational in giving up their contracts, and a proportion of policyholders will access the … secondary markets instead of surrendering the contracts to the insurance company. We formulate the valuation problems from both …