%0 Journal Article
%T A Pricing Model of Equity-linked Life Insurance with Investment Return Guarantees<br>一个具有保底投资收益的投资连接寿险定价模型
%A YANG Ge
%A TIAN Peng
%A <br>杨舸
%A 田澎
%J 系统工程理论与实践
%D 2005
%I 
%X This paper presents a new pricing model for equity-linked life insurance with two kinds of guarantees: death benefit guarantees and investment return guarantees.Some numerical results are given.The results show that such kind of contract is composed with a guaranteed investment fund and a European bear spreads option package(EBSOP) whose value can not be ignored.The package is out-of-money only when the death benefit guarantee is smaller than invest return guarantee.On such condition,the contract can be treated as an early exercisable fund with interest rate guarantees.
%K equity-linked life insurance
%K pricing model
%K guaranteed return
%K option packages<br>投资连接寿险
%K 定价模型
%K 保底投资收益
%K 组合期权
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=D223422B33598037&yid=2DD7160C83D0ACED&vid=C5154311167311FE&iid=708DD6B15D2464E8&sid=987EDA49D8A7A635&eid=318E4CC20AED4940&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=1&reference_num=9