Unit-Linked Life Insurances as a Form of Protection for the Future
Abstract
Insurances with capital funds (unit-linked, UFK), i.e. life and annuity saving and covering insurances combined with shares in selected investment funds of financial institutions are considered as additional form of pension saving. However, they are frequently seen as uneconomical products, which is caused mainly by the fact that insurance policies compensations does not live up to expectations of the insured. It became an impulse to implement the analysis of cash flow characteristic of such insurance types, carry out an accurate valuation of the
unit-linked insurance portfolio, as well as to investigate financial surplus in relation to a traditional insurance with guaranteed sum.
Keywords:
unit-linked insurance, European option, valuation, value of insurance, Monte-Carlo methodReferences
Ballotta, L.; Habermann, S. (2006). The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case. Insurance Mathematics & Economics 38.
Google Scholar
Bacinello, A. R., (2003). Pricing guaranteed life insurance participating policies with annual premiums and surrender option. North American Actuarial Journal 7(3).
Google Scholar
Bacinello, A.R.; C. Perna; M. Sibillo (2008). Chapter: A full Monte Carlo approach to the valuation of the surrender option embedded in life insurance contracts in Mathematical and Statistical Methods for Insurance and Finance. Springer.
Google Scholar
Bowers, N.L.; Gerber, H.U.; Hickman, J.C; Jones, D.A.; Nesbitt, C. (1997). Actuarial mathematics. Schaumburg: The Society of Actuaries.
Google Scholar
Glasserman, P. (2004). Monte Carlo methods in financial engineering. Stochastic Modelling and Applied Probability 53.
Google Scholar
Homa, M. (2013). Rozkład wypłaty w ubezpieczeniu na życie z funduszem kapitałowym a ryzyko finansowe. PN UE Zagadnienia aktuarialne - teoria i praktyka 312.
Google Scholar
Homa, M. 2014. Propozycja modyfikacji składki netto w ubezpieczeniach na życie z funduszem kapitałowym uwzględniająca dodatkowe ryzyko finansowe. Quantitive Methods in Economics 15(3).
Google Scholar
Milevsky, M.; Salisbury T.S. (2006). Financial valuation of guaranteed minimum withdrawal benefits. Insurance: Mathematics and Economic 38(1).
Google Scholar
Moller, T. (2003). Indifference pricing of insurance contracts In a products pace model: applications. Insurance Mathematics & Economic 32.
Google Scholar
Moller, T.; Steffensen, M. (2007). Market valuation methods in life and pension insurance. Cambridge: Cambridge University Press.
Google Scholar
Weron, A.; Weron, R. (1998). Inżynieria finansowa. Wycena instrumentów pochodnych, symulacje komputerowe, statystyka rynku. Warszawa: Wydawnictwo Naukowo-Techniczne.
Google Scholar
Statistics
Downloads
License
Copyright (c) 2020 Economic and Environmental Studies
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
