Title :
A Stochastic Control Model for Pricing the Guaranteed Equity-Linked Insurance
Author :
Xu Zhijun ; Wang Qi ; Chen Huodi
Author_Institution :
East China Inst. of Technol., Fuzhou, China
Abstract :
In this paper, we analyze the sub-account value process of the guaranteed equity-linked insurance. By using the financial engineering method, this article presents a static model to deal with the contractual withdrawal situation. Then the stochastic control approach is developed and the Hamilton-Jacobi-Bellman equation model is deduced to price the dynamic withdrawal behavior.
Keywords :
finance; insurance; pricing; stochastic processes; Hamilton Jacobi Bellman equation model; contractual withdrawal situation; financial engineering method; guaranteed equity linked insurance; pricing; static model; stochastic control model; Contracts; Equations; Insurance; Mathematical model; Numerical models; Pricing; Stochastic processes;
Conference_Titel :
Management and Service Science (MASS), 2010 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-5325-2
Electronic_ISBN :
978-1-4244-5326-9
DOI :
10.1109/ICMSS.2010.5578299
