PRICING EQUITY-INDEXED ANNUITIES USING COPULA

• Main Author: Merianita, Sarah
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/36338
• Institution: Institut Teknologi Bandung

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.