| Autor: |
Kokou Essiomle, Franck Adékambi |
| Jazyk: |
angličtina |
| Rok vydání: |
2023 |
| Předmět: |
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| Zdroj: |
Risks, Vol 11, Iss 1, p 21 (2023) |
| Druh dokumentu: |
article |
| ISSN: |
2227-9091 |
| DOI: |
10.3390/risks11010021 |
| Popis: |
The purpose of this paper is to investigate equity-linked death benefits for joint alive and last survivor individuals. Utilizing Farlie–Gumbel–Morgenstern (FGM) type dependency modeling framework, we first analyze the joint distribution of the couple (joint alive and last survival density) when marginal distributions follow mixed exponentials and weighted exponentials distributions. Then, we derive the price of the guaranteed minimum death benefit (GMDB) product. In addition, we provide closed analytical expressions of the price of some financial contingent claim contracts (classical and exotic options). Furthermore, we present some numerical results to support our theoretical results. We show in our numerical example that it is important to model the dependency between two lives (couple) since the price changes as the copula parameter changes. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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