Financial and Actuarial Mathematics  
TU Wien, Austria  

2004-05-18  PDF  MS-Word

Einladung zur Vortragsreihe aus Finanz- und Versicherungsmathematik

Prof. Anna Rita Bacinello

Full Professor, University of Trieste (Italy)

Modelling the Surrender Conditions in Equity-Linked Life Insurance

We propose a model for pricing a unit-linked life insurance endowment policy embedding a surrender option. We consider both single-premium and annual premium payments. In a first moment we analyse a quite general contract, without specifying the way in which benefits and surrender values are linked to the reference portfolio. For this general contract we obtain a backward recursive valuation formula based on the Cox, Ross and Rubinstein (1979) binomial model. Then we concentrate upon a particular case of the general contract, that is the celebrated model with exogenous minimum guarantees pioneered by Brennan and Schwartz (1976) and Boyle and Schwartz (1977). In this particular case we extend our analysis in order to take into account the possibility that the minimum guarantees at death or maturity and the cash surrender values are endogenously determined.

Anna Rita Bacinello is Full Professor of "Mathematical Methods for Economics and for Actuarial and Financial Sciences" at the Department of Mathematics Applied to Economical, Statistical and Actuarial Sciences "Bruno de Finetti", Faculty of Economics, University of Trieste (Italy).

Termin: Dienstag, 18. Mai 2004, 16:30 Uhr s.t.
Ort: Technische Universität Wien
1040 Wien, Wiedner Hauptstraße 8
Freihaus, Turm A (grüner Bereich), 2. Stock,
Hörsaal FH HS 6

Direktor Helmut Holzer
Präsident der Aktuarvereinigung Österreichs
Präsident des Österreichischen Förderungsvereins der Versicherungsmathematik

Gen.-Dir. Dr. Siegfried Sellitsch
Präsident der Österr. Gesellschaft für Versicherungsfachwissen

o.Univ.-Prof. Dr. W. Schachermayer
Univ.-Prof. Dr. U. Schmock
Finanz- und Versicherungsmathematik, Technische Universität Wien