PRICING EQUITY-INDEXED ANNUITIES USING COPULA
Equity-Indexed Annuities (EIA) is one of the life insurance equity-linked pro- ducts providing the insured to enjoy the benefit of equity investment in con- junction with mortality protection which the insured is able to decide the participation rate on risky investments of the paid premium while...
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| Main Author: | |
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/36338 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Equity-Indexed Annuities (EIA) is one of the life insurance equity-linked pro-
ducts providing the insured to enjoy the benefit of equity investment in con-
junction with mortality protection which the insured is able to decide the
participation rate on risky investments of the paid premium while guarantee-
ing a minimum rate return as its additional benefit. There are differences on
pricing EIA compared to traditional life insurance i.e. EIA calculates risks on
mortality and investments meanwhile traditional life insurance only calculates
mortality risks. In this research, both risks are random variables following
discrete distributions under martingale. As Financial markets and insurance
markets are related, the joint distributions of those risks are needed to be de-
termined using Copula. By determining the premium and benefits of EIA, the
attractiveness of EIA compared to traditional life insurance can be concluded. |
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