Download Financial Risk and Derivatives: A Special Issue of the by Henri Loubergé (auth.), Henri Loubergé, Marti G. PDF

By Henri Loubergé (auth.), Henri Loubergé, Marti G. Subrahmanyam (eds.)

ISBN-10: 9400918267

ISBN-13: 9789400918269

ISBN-10: 9401073147

ISBN-13: 9789401073141

Financial threat and Derivatives offers a good representation of the hyperlinks that experience constructed in recent times among the speculation of finance on one hand and coverage economics and actuarial technology at the different. Advances in contingent claims research and advancements within the educational and sensible literature facing the administration of monetary hazards mirror the shut relationships among coverage and concepts in finance.
The publication represents an summary of the current state-of-the-art in theoretical learn facing monetary problems with value for assurance technology. it's going to confidently offer an impetus to extra advancements in utilized assurance research.

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Sample text

The sigma algebras JC and gt are assumed to be independent, reflecting that the remaining life time of the insured is independent of the interest rate and the financial UNIT-LINKED LIFE INSURANCE CONTRACTS 39 securities. The stochastic processes {Sf: t ~ O} and {rt : t ~ O} and the random variable Tx generate all uncertainty in the model, so the total information available at time t is given by a filtration {:f t : t ~ O}, where :f t represents the sigma algebra union of 9t and JC. We impose a fixed time horizon T, so that the sigma algebra :f = :fT' Finally, :fo = {e, o}, meaning that no relevant uncertainty has been resolved at time zero.

The term insurance is both deferred and unit-linked but capped at the same amount Gr. giving C¥ = C] = min[Sr. GT ]. Compared with the simple endowment contract of the previous subsection, the unit-linked pure endowment component is more attractive to the insured, and the term insurance component is less attractive to the insured. Both components are less risky than similar simple unit-linked contracts, without the guarantee and cap feature. 2. Consider the endowment insurance with deferred term insurance, such that the benefit at time Tis C¥ = max[ST, GT] if the insured is alive and C¥ = min[ST, GT] otherwise.

As a consequence, the two works just mentioned establish a connection between the classical Thiele equation of the actuarial sciences and the Black and Scholes [1973] equation, which was the basis for the optionpricing-related results. An important topic of interest for the insurance industry is the future development of the interest rate. Bacinello and Ortu [1993b, 1994, 1995], Nielsen [1993], Nielsen and Sandmann [1995], and Persson [1994] include a stochastic model of the interest rate when dealing with unit-linked contracts.

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