AMCS Seminar

Elias Shiu - Department of Statistics and Actuarial Science
Valuing equity-linked death benefits in jump diffusion models

Abstract: Nowadays, many products sold by insurance companies are investment funds wrapped around with (exotic) options and guarantees. In this talk, the investment-fund price process is assumed to be the exponential of a Brownian motion plus an independent compound Poisson process whose upward and downward jumps are modeled by combinations of exponential distributions. It will be shown that, if the options or guarantees are exercised at the moment of death of the policyholder, their valuation turns out to be an elementary calculus exercise.

Event Date: 
February 24, 2017 - 3:30pm to 4:30pm
221 MLH
Calendar Category: