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| Author: | Bacinello, A. Ortu, F. |
| Title: | Fixed income linked life insurance policies with minimum guarantees: pricing models and numerical results |
| Journal: | European Journal of Operational Research
1996 : JUN 7, VOL. 91:2, p. 235-249 |
| Index terms: | MANAGEMENT INTEREST RATES GUARANTEES |
| Language: | eng |
| Abstract: | The authors propose a pricing model for life insurance policies in which the benefits are linked to the performance of a portfolio of interest rate sensitive assets, and a minimum guarantee provision is present. The model is cast in the celebrated term structure framework developed by Cox, Ingersoll and Ross. As for the behavior of the investment component, the authors analyse two polar cases. In the first one the payments due on the reference fund when the contract is still "alive" are not reinvested, while in the second case the authors propose a reinvestment policy. |
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