233015 (E10) The rate of index participation as a distinguishing feature of guaranteed equity-linked life insurance policies: Russ J., Schittenhelm F.A.,Deutsche Gesellschaft Fu¨r Versicherungsmathematik, Band XXIII, Heft 4, October 1998

• Publisher: Elsevier Science
• Year: 1998
• Tongue: English
• Weight: 90 KB
• Volume: 23
• Category: Article
• ISSN: 0167-6687
• DOI: 10.1016/s0167-6687(98)90033-6

✦ Synopsis

The expectation of the discounted dividend payments is determined in the framework of a mathematical model in which financial risk is considered. In particular, starting from a diffusive stochastic model for the cash-balance, the expression of the expectation of the discounted dividends is obtained as the solution of a differential equation, with appropriate boundary conditions relating to the presence of a barrier regulating dividend payments.