We study the effect of secondary markets on equity-linked life insurance contracts with surrender guarantees. The … secondary markets instead of surrendering the contracts to the insurance company. We formulate the valuation problems from both … the insurance company's and the policyholders' perspectives and characterize the contract values by deriving the …

is specified on the basis of a benchmark portfolio. These contracts are closely related to unit--linked life--insurance …, is the risk management of the embedded options by a tractable and realistic hedging strategy. The long maturity of life--insurance … granted to the insurance customer and suggests a new role for a type of ``bonus account'' customary in many life--insurance …

In this paper, we consider the net loss of a life insurance company issuing identical equity-linked pure endowment …

The topic of insolvency risk in connection with life insurance companies has recently attracted a great deal of … attention. In this paper, the question is investigated of how the value of the equity and of the liability of a life insurance … performed in order to investigate the effects of different parameter changes on the values of the insurance company's equity and …

We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is … setting we derive upper and lower price bounds for unit-linked life insurance contracts using stochastic control techniques … pricing measures. We provide numerical examples investigating fixed-term, endowment insurance contracts and their combinations …

We study the valuation of unit-linked life insurance contracts with surrender guarantees. Instead of solving an optimal …