Evaluation of Insurance Products with Guarantee in Incomplete Markets

Andrea Consiglio, Domenico De Giovanni


The pricing of implicit options embedded in life insurance products is of vital importance for the insurance industry. Risk management, strategic asset allocation, and product design depend on the correct evaluation of the options sold. Also regulators are interested in such issues since they have to be aware of the possible scenarios that the overall industry will face with. Our objective is to use a stochastic programming approach to determine the fair price of the options embedded in policy contracts. We provide extensive numerical experiment to describe the behaviour of the insurance policies for different setting of the key parameters, market and regulatory constraints.

[DOI: 10.1685 / CSC06054] About DOI

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DOI: https://doi.org/10.1685/

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