Valuation of Cliquet-Style Guarantees with Death Benefits in Jump Diffusion Models

Yong, YD; Yang, HL

Yong, YD (corresponding author), Univ Hong Kong, Dept Stat & Actuarial Sci, Pokfulam Rd, Hong Kong, Peoples R China.

MATHEMATICS, 2021; 9 (16):

Abstract

This paper aims to value the cliquet-style equity-linked insurance product with death benefits. Whether the insured dies before the contract maturity ......

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