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Using options to price maturity guarantees

Published online by Cambridge University Press:  20 April 2012

Michael Beenstock  and
Valerie Brasse
Michael Beenstock
Affiliation:
City University Business School
Valerie Brasse
Affiliation:
City University Business School
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Extract

The discussion on Maturity Guarantees, as applied to unit linked life assurance policies, has followed two quite distinct paths—the conventional or mainstream approach, as exemplified by Benjamin (1976) and endorsed by the Maturity Guarantees Working Party (MGWP 1980) on the one hand, and those who seek to reduce the risks associated with maturity guarantees by using an immunization strategy on the other (Brennan & Schwartz, 1976).

Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 113 , Issue 1 , June 1986 , pp. 151 - 166
Copyright
Copyright © Institute and Faculty of Actuaries 1986

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References

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