对多重生命的权益相关死亡保险金进行估值,直到K之后死亡<

IF 1.2 Q2 MATHEMATICS, APPLIED
Franck Adékambi, E. Konzou
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引用次数: 0

摘要

本文的目的是研究基于联合生存模型的股权挂钩死亡保险合同和双头多人人寿保险的估值。利用股票价格过程的指数Wiener过程假设和死亡前时间的Kn分布,我们给出了保证最低死亡福利产品的贴现支付预期的显式公式,并推导了一些期权的闭合表达式和数值说明。我们使用具有Kn的二元Sarmanov分布(即,其密度函数的拉普拉斯变换最多是两个次数多项式的比率)边际分布来研究基于联合生存的多重人寿保险。我们给出了关节寿命状态的分析结果。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Valuing Equity-Linked Death Benefits on Multiple Life with Time until Death following a K <
The purpose of this paper is to investigate the valuation of equity-linked death benefit contracts and the multiple life insurance on two heads based on a joint survival model. Using the exponential Wiener process assumption for the stock price process and a K n distribution for the time until death, we provide explicit formulas for the expectation of the discounted payment of the guaranteed minimum death benefit products, and we derive closed expressions for some options and numerical illustrations. We investigate multiple life insurance based on a joint survival using the bivariate Sarmanov distribution with K n (i.e., the Laplace transform of their density function is a ratio of two polynomials of degree at most) marginal distributions. We present analytical results of the joint-life status.
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来源期刊
Journal of Applied Mathematics
Journal of Applied Mathematics MATHEMATICS, APPLIED-
CiteScore
2.70
自引率
0.00%
发文量
58
审稿时长
3.2 months
期刊介绍: Journal of Applied Mathematics is a refereed journal devoted to the publication of original research papers and review articles in all areas of applied, computational, and industrial mathematics.
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