Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products

Journal of Risk and Insurance

Volumn 64, Issue 4, 1997, Pages 599-617

  Persson, Svein Arne ^a   Aase, Knut K ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0346613487     PISSN: 00224367     EISSN: None     Source Type: Journal    
DOI: 10.2307/253888     Document Type: Article

References (7)

1. Black, F. and M. Scholes, 1973, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81: 637-654.
2. Black, K. and H. D. Skipper, 1987, Life Insurance (Englewood Cliffs, N.J.: Prentice-Hall).
3. Hull, J., 1993, Options, Futures, and Other Derivative Securities, Second Edition (Englewood Cliffs, N.J.: Prentice-Hall).
4. Katt, 1996, Beware of Agents Bearing Guarantees, Journal of Financial Planning, June: 20-21.
5. Merton, R. C., 1973, Theory of Rational Option Pricing, Bell Journal of Economics and Management Science, 4: 141-183.
6. Persson, S.-A., 1998, Stochastic Interest Rate in Life Insurance, The Principle of Equivalence Revisited, Scandinavian Actuarial Journal, forthcoming.
7. Vasicek, O., 1977, An Equilibrium Characterization of the Term Structure, Journal of Financial Economics, 5: 177-188.