Kalender Department Mathematik

Tue, 30.05.2017, 16:45
Valuing Equity-Linked Death Benefits in Jump-Diffusion Models

Referent: Prof. Dr. Elias S. W. Shiu, Univ. of Iowa
Veranstalter: Wolfgang Stummer, Gemeinsames Kolloquium der Departments Mathematik und Wirtschaftswissenschaften
Raum: Raum LG 4.154, Lange Gasse 20, 90403 Nürnberg

Nowadays, many products sold by U.S. life insurance companies are investment funds wrapped around with options and guarantees. Many of these guarantees should be priced, hedged, and reserved using modern option-pricing theory and sophisticated mathematical tools such as martingales, Brownian motion, stochastic differential equations, and so on. By applying a version of the Wiener-Hopf factorization, this talk will show that, if the guarantees are exercisable only at the moment of death of the policyholder, their valuation turns out to be an elementary calculus exercise. This work was done jointly with Hans U. Gerber of the University of Lausanne and Hailiang Yang of the University of Hong Kong.