On the Premium of equity-linked insurance contracts

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<title>Premium of equity-linked insurance contracts</title>
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<abstract displayLabel="Summary">We will deal with the valuation of equity-linked insurance contracts such as unit links. We will introduce a premium principle based on the optimization of expectation bounded and coherent measures of risk. The premium principle seems to present some interesting properties. Indeed, firstly, it is sub-additive and favors diversification. Secondly, it integrates both actuarial and financial risks, and does not have to impose independence between them. Thirdly, it provides the insurer with hedging strategies. Finally, it is very easy to use in practice since one only has to solve linear programming problems, despite the fact that risk measures are not linear at all </abstract>
<note type="statement of responsibility">Beatriz Balbás and Raquel Balbás</note>
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<topic>Cálculo de la prima</topic>
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<topic>Mercados financieros</topic>
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<topic>Valoración de riesgos</topic>
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<topic>Riesgo financiero</topic>
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<topic>Matemática del seguro</topic>
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<title>Anales del Instituto de Actuarios Españoles : Colegio Profesional</title>
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<publisher>Madrid : Instituto de Actuarios Españoles, 1943-</publisher>
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<identifier type="local">MAP20070000012</identifier>
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<text>21/12/2010 Número 16 Epoca 3ª Época  - 2010 , p. 25-42</text>
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