Pesquisa de referências

Valuing equity-linked death benefits with a threshold expense strategy

Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20150023681
003  MAP
005  20150707153724.0
008  150626e20150504esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20150012838‎$a‎Zhou, Jiang
24510‎$a‎Valuing equity-linked death benefits with a threshold expense strategy‎$c‎Jiang Zhou, Lan Wu
520  ‎$a‎We investigate equity-linked investment products with a threshold expense strategy , under which an insurance company will collect expenses continuously from the policyholder¿s account only when the account value is lower than a pre-specified level. The logarithmic value of the policyholder¿s account, before deducting any fees, is described by a jump diffusion process which is independent of the time-to-death random variable. The distribution of the time-to-death random variable is approximated by a combination of exponential distributions, which are dense in the space of density functions on [0,8). We characterize the Laplace transform of the distribution of a general refracted jump diffusion process through some integro-differential equations. Besides, the distribution of a refracted double exponential jump diffusion process at an independent exponential random variable is derived, from which closed-form formulas to evaluate the total expenses and the fair fee rates are obtained. Finally, we illustrate our results by some numerical examples.
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎04/05/2015 Volumen 62 - mayo 2015
856  ‎$y‎MÁS INFORMACIÓN‎$u‎mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A