Valuing equity-linked death benefits with a threshold expense strategy

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      <subfield code="a">Zhou, Jiang</subfield>
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      <subfield code="a">Valuing equity-linked death benefits with a threshold expense strategy</subfield>
      <subfield code="c">Jiang Zhou, Lan Wu</subfield>
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      <subfield code="a">We investigate equity-linked investment products with a threshold expense strategy  , under which an insurance company will collect expenses continuously from the policyholder¿s account only when the account value is lower than a pre-specified level. The logarithmic value of the policyholder¿s account, before deducting any fees, is described by a jump diffusion process which is independent of the time-to-death random variable. The distribution of the time-to-death random variable is approximated by a combination of exponential distributions, which are dense in the space of density functions on [0,8). We characterize the Laplace transform of the distribution of a general refracted jump diffusion process through some integro-differential equations. Besides, the distribution of a refracted double exponential jump diffusion process at an independent exponential random variable is derived, from which closed-form formulas to evaluate the total expenses and the fair fee rates are obtained. Finally, we illustrate our results by some numerical examples.</subfield>
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      <subfield code="w">MAP20077100574</subfield>
      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
      <subfield code="x">0167-6687</subfield>
      <subfield code="g">04/05/2015 Volumen 62 - mayo 2015 </subfield>
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