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Titel:

Cliquet-style return guarantees in a regime switching Lévy model

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Hieber, P.
Nicht-TUM Koautoren:
ja
Kooperation:
international
Abstract:
This article considers the valuation of equity-linked life insurance contracts that offer an annually guaranteed minimum return. The policy premiums are invested in a reference portfolio that is modeled by means of a regime switching Lévy process where the model parameters depend on a continuous-time, finite state Markov chain. Thereby, we can take into account persistent changes in the underlying (macro)economic conditions of financial markets and depart from the unsatisfactory assumption of st...     »
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Insurance Mathematics and Economics
Journal gelistet in FT50 Ranking:
nein
Jahr:
2017
Heft / Issue:
Vol. 72
Seitenangaben Beitrag:
138-147
Volltext / DOI:
doi:10.1016/j.insmatheco.2016.11.009
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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