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Pricing Unit-Linked Insurance Contracts using Estimated Volatility
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| dc.contributor.author | Ikamari, Cynthia | |
| dc.contributor.author | Mutai, Cheruiyot Noah | |
| dc.date.accessioned | 2021-06-10T12:24:03Z | |
| dc.date.available | 2021-06-10T12:24:03Z | |
| dc.date.issued | 2016 | |
| dc.identifier.issn | 2222-2847 | |
| dc.identifier.uri | http://ir.ttu.ac.ke/xmlui/handle/123456789/39 | |
| dc.description.abstract | insurance contract with minimum death guarantee is a contingent claim which implies that a hedging argument can be used to determine the price. In this case, the guarantee strike price does not depend on the current time inal cash flow of a European put option and we end up with a Black-Scholes like put pricing formula. In this paper, we extend the work of Frantz et al. (2003) by relaxing the assumption that volatility is constant. | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Research Journal of Finance and Accounting | en_US |
| dc.subject | premiums | en_US |
| dc.subject | guaranteed minimum death benefit | en_US |
| dc.subject | unit-linked insurance contract | en_US |
| dc.title | Pricing Unit-Linked Insurance Contracts using Estimated Volatility | en_US |
| dc.type | Article | en_US |
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