Valuation of Endowment-Insurance Equity-Linked Contracts for Stocks with Exotic Dynamics. (11th February 2014)

• Record Type: Journal Article
• Authors: Villarroel, Javier
• Other Names: Prieto-Rumeau T. Academic Editor.; Valero O. Academic Editor.
• Is Part Of: TheScientificWorldjournal. Volume 2014(2014)
• Publication Date: 2014-02-11
• Subjects: Science -- Periodicals; Technology -- Periodicals; Medicine -- Periodicals; 505
• DOI: 10.1155/2014/314286
• Languages: English
• ISSNs: 2356-6140

Abstract

Abstract : We consider the fair martingale prize of insurance contracts with benefit received either at the insurer's demise or at maturity. We show how to modify the dynamics of the underlying so as to incorporate the possibility that the traded stock has a strong support at some level. The resulting dynamics is integrated and the fair prize of several natural endowment-insurance contracts is obtained.