Pricing and dynamic hedging strategies for a bond-linked life insurance policy with a guarantee

Variable life insurance (VL) has gained great popularity for its fluctuating but minimum guaranteed death benefit under the high level of inflation in the late 1970's. It also offers policyowner a choice of vehicles in which the cash value can be invested. The risk from the death value guarantee is systematic and thus may jeopardize the financial soundness of the insurer unless proper pricing and investment strategies are adopted.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Finance

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2011

Author dc:creator

• Lee, Keun Chang

Contributors dc:contributor

• D'Arcy, Stephen P.

• Economics, Finance

Statement dc:rights

• Copyright 1991 Lee, Keun-Chang

Language dc:language

eng

Identifier

AAI9210886
(UMI)AAI9210886

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/19286