Valuing equity-linked death benefits with a threshold expense strategy

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<dc:creator>Zhou, Jiang</dc:creator>
<dc:date>2015-05-04</dc:date>
<dc:description xml:lang="es">Sumario: 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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/152950.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Valuing equity-linked death benefits with a threshold expense strategy</dc:title>
<dc:relation xml:lang="es">En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 04/05/2015 Volumen 62 - mayo 2015 </dc:relation>
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