Variance and Interest Rate Risk in Unit-Linked Insurance Policies

Clicks: 128
ID: 118434
2020
Free PDF
Article Quality & Performance Metrics
Overall Quality
Not rated
Combines reader engagement with the AI quality analysis. This article has not been analysed, so there is no overall score — reader engagement is measured and shown alongside.
AI Quality Assessment
Not analyzed
Readership in this journal
Emerging

Ranked #78 of 89 articles by views in risks

Most read Least read

Bar heights use a square-root scale.

Mint this article as an NFT
Not yet minted

Create a permanent, verifiable on-chain record of this article on the Scimatic Network. The NFT is held in your Journament account, and you can withdraw it to your own wallet at any time.

5 SUSD one-off · no wallet required
Sign in to mint
Abstract
One of the risks derived from selling long-term policies that any insurance company has arises from interest rates. In this paper, we consider a general class of stochastic volatility models written in forward variance form. We also deal with stochastic interest rates to obtain the risk-free price for unit-linked life insurance contracts, as well as providing a perfect hedging strategy by completing the market. We conclude with a simulation experiment, where we price unit-linked policies using Norwegian mortality rates. In addition, we compare prices for the classical Black-Scholes model against the Heston stochastic volatility model with a Vasicek interest rate model.
Reference Key
ortiz-latorre2020risksvariance Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors David Baños,Marc Lagunas-Merino,Salvador Ortiz-Latorre;David Baños;Marc Lagunas-Merino;Salvador Ortiz-Latorre;
Journal risks
Year 2020
DOI
10.3390/risks8030084
URL
https://sciprofiles.com/publication/view/d82758916707447ed9566d661d312fc6
Keywords
unit-linked policies pure endowment term insurance stochastic volatility models stochastic interest rates

Citations

No citations found. To add a citation, contact the admin at info@scimatic.org

Comments

No comments yet. Be the first to comment on this article.