Abstract
Up to now we have mostly considered models with deterministic interest rate or with an interest rate given by a Markov chain on a finite state space. This helped us to keep the calculations simple. In this chapter we have a look at some more general models. On the one hand we consider models for policies whose actual value depends on the performance of an underlying unit (usually a fond), on the other hand we will discuss further models with stochastic interest rate.
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Notes
- 1.
Actually, this is not true in general. Here we implicitly assumed that the capital market risks of a unit-linked policy are minimised by an appropriate trading strategy. For a classical insurance such a trading strategy replicates the cash flows by zero coupon bonds with the corresponding maturities.
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© 2012 Springer-Verlag Berlin Heidelberg
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Koller, M. (2012). Unit-Linked Policies. In: Stochastic Models in Life Insurance. EAA Series. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-28439-7_8
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DOI: https://doi.org/10.1007/978-3-642-28439-7_8
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-28438-0
Online ISBN: 978-3-642-28439-7
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