dc.date.accessioned | 2020-09-29T18:20:48Z | |
dc.date.available | 2020-09-29T18:20:48Z | |
dc.date.created | 2020-09-26T12:03:00Z | |
dc.date.issued | 2020 | |
dc.identifier.citation | Baños, David Lagunas, Marc Ortiz-Latorre, Salvador . Variance and interest rate risk in unit-linked insurance policies. Risks. 2020, 8(3) | |
dc.identifier.uri | http://hdl.handle.net/10852/80155 | |
dc.description.abstract | One of the risks derived from selling long-term policies that any insurance company has arises from interest rates. In this paper, we consider a general class of stochastic volatility models written in forward variance form. We also deal with stochastic interest rates to obtain the risk-free price for unit-linked life insurance contracts, as well as providing a perfect hedging strategy by completing the market. We conclude with a simulation experiment, where we price unit-linked policies using Norwegian mortality rates. In addition, we compare prices for the classical Black-Scholes model against the Heston stochastic volatility model with a Vasicek interest rate model. | |
dc.language | EN | |
dc.relation.ispartof | Lagunas Merino, Marc (2020) Stochastic Modeling with Fractional and non-Fractional Noises: Applications to Finance and Insurance. Doctoral thesis http://hdl.handle.net/10852/80976 | |
dc.relation.uri | http://hdl.handle.net/10852/80976 | |
dc.rights | Attribution 4.0 International | |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | |
dc.title | Variance and interest rate risk in unit-linked insurance policies | |
dc.type | Journal article | |
dc.creator.author | Baños, David | |
dc.creator.author | Lagunas, Marc | |
dc.creator.author | Ortiz-Latorre, Salvador | |
cristin.unitcode | 185,15,13,35 | |
cristin.unitname | Risiko og Stokastikk | |
cristin.ispublished | true | |
cristin.fulltext | original | |
cristin.qualitycode | 1 | |
dc.identifier.cristin | 1833744 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Risks&rft.volume=8&rft.spage=&rft.date=2020 | |
dc.identifier.jtitle | Risks | |
dc.identifier.volume | 8 | |
dc.identifier.issue | 3 | |
dc.identifier.doi | https://doi.org/10.3390/risks8030084 | |
dc.identifier.urn | URN:NBN:no-83249 | |
dc.type.document | Tidsskriftartikkel | |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 2227-9091 | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/80155/2/risks-08-00084.pdf | |
dc.type.version | PublishedVersion | |
cristin.articleid | 84 | |