Pricing Unit-Linked Insurance Contracts using Estimated Volatility

Ikamari, Cynthia; Mutai, Cheruiyot Noah

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