PRICING MODEL OF EQUITY-LINKED LIFE INSURANCE UNDER STOCHASTIC INTEREST RATES
Equity-linked is life insuranse which providing a chance for policyholders to invest in the stock market. Stock option is used for the invesment, which gives the advantage to sell or buy stocks at strike price. To get these benefits, the insurer charges premium. The premium can be...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/28598 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Equity-linked is life insuranse which providing a chance for policyholders to invest in the stock market. Stock option is used for the invesment, which gives the advantage to sell or buy stocks at strike price. To get these benefits, the insurer charges premium. The premium can be calculated by finding the expectation of value of present value losses from traditional life insurance and the invesment. Stochastic interest rate is considered in this model to describe the long-term fund management. The stochastic interest model is modeled by Cox-Ingersoll-Ross, that has properties of mean reversion. To calculate the actuarial values we use The Indonesian Mortality Table in 2011. To set the survival probability at any time, we apply the Gompertz model. In this thesis, we explain the pricing model for this life insuranse with those instrument. In our simulation, non-risk interest rates we use ICBC Bank’s deposits, and for the risk interest rates we use Mandiri Bank’s stock price. |
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