Arithmetic averaging equity-linked life
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Dirk Jens F. Nonnenmacher; Jochen Ruร
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Article
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1999
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Elsevier Science
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English
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This paper discusses two guaranteed arithmetic averaging equity-linked life-insurance products linked to the DAX30. According to German legislation, so called additional policy reserves might be required for such policies. As no pricing formulas are available, we use Monte Carlo simulation technique