Valuation of Equity-Linked Life Insurance Contracts Using a Model with Interacting Assets

摘要

We study equity-linked life insurance contracts with minimum guarantees, where an underlying index is based on the set of stocks whose prices are described by the multidimensional model with interacting assets. We apply numerical techniques developed for pricing index options (path-dependent as well as plain index options) to valuation of such insurance contracts in the case of single and periodic premiums. We also numerically determine and discuss an implied guarantee rate of an insurance contract.