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Title:

Cliquet-style return guarantees in a regime switching Lévy model

Document type:
Zeitschriftenaufsatz
Author(s):
Hieber, P.
Non-TUM Co-author(s):
ja
Cooperation:
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
Journal title:
Insurance Mathematics and Economics
Journal listet in FT50 ranking:
nein
Year:
2017
Journal issue:
Vol. 72
Pages contribution:
138-147
Fulltext / DOI:
doi:10.1016/j.insmatheco.2016.11.009
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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