Download or read book Design and Pricing of Equity-Linked Life Insurance Under Stochastic Interest Rates written by Anna Rita Bacinello and published by . This book was released on 2001 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: A valuation model for equity-linked life insurance contracts incorporating stochastic interest rates is presented. Our model generalizes some previous pricing results of Aase and Persson (1994) and Ekern and Persson (1996), based on deterministic interest rates. Moreover, a design of a new equity-linked product with some appealing features is proposed and compared with the periodical premium contract of Brennan and Schwartz (1976). Our new product is very simple to price and may easily be hedged either by long positions in the mutual fund of linkage or by European call options on the same fund.