Assuming constant interest rates Brennan and Schwartz (1976, 1979) obtained the rational insurance premium on an equity-linked insurance contract through the application of the theory of contingent claims pricing. Further considerations with deterministic interest rates have been discussed in...

An equity-linked life insurance contract combines an endowment life insurance and an investment strategy with a minimum guarantee. The benefit of this contract is determined by the guaranteed amount plus a bonus equal to a call on the portfolio. This bonus is similar to an Asian option. We...

The lognormal distribution assumption for the term structure of interest is the most natural way to exclude negative spot and forward rates. However, imposing this assumption on the continuously compounded interest rate has a serious drawback: rates explode and expected rollover returns are...

Die vorliegende Arbeit befa_t sich mit der Bewertung von Down-and-out Calls. Es werden die Vertragseigenschaften und das resultierende Hedgeportfolio untersucht und die Unterschiede zu einem europdischen Call verdeutlicht. Daneben stehen unterschiedliche Bewertungsverfahren im Mittelpunkt des...