dc.contributor.author |
Ikamari, Cynthia |
|
dc.contributor.author |
Mutai, Noah |
|
dc.date.accessioned |
2017-03-06T07:29:25Z |
|
dc.date.available |
2017-03-06T07:29:25Z |
|
dc.date.issued |
2016 |
|
dc.identifier.citation |
Research Journal of Finance and Accounting, Vol.7, No.24 |
en_US |
dc.identifier.issn |
2222-1697 |
|
dc.identifier.issn |
2222-2847 |
|
dc.identifier.uri |
http://www.iiste.org/Journals/index.php/RJFA/article/viewFile/34824/35806 |
|
dc.identifier.uri |
http://repository.seku.ac.ke/handle/123456789/3230 |
|
dc.description.abstract |
This paper develops a model for pricing a unit-linked insurance contract by estimating the volatility. This insurance contract with minimum death guarantee is a contingent claim which implies that a hedging argument can be used to determine the price. In this case, the guarantee strike price does not depend on the current time and the insurer’s liability for a death at a given time is similar to the terminal cash flow of a European put option and we end up with a Black-Scholes like put pricing formula. In this paper, we extend the work of Frantz et al. (2003) by relaxing the assumption that volatility is constant. |
en_US |
dc.language.iso |
en |
en_US |
dc.subject |
unit-linked insurance contract |
en_US |
dc.subject |
premiums |
en_US |
dc.subject |
guaranteed minimum death benefit |
en_US |
dc.title |
Pricing unit-linked insurance contracts using estimated volatility |
en_US |
dc.type |
Article |
en_US |