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Probabilistic valuation of certain unit-linked contracts

Javier Villaroel
Facultad de Ciencias
Universidad de Salamanca
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  • Abstract
    We consider the fair prize of insurance contracts with benefit received either at the insurer's demise or at maturity. Explicit formulas are given for a Brennan & Schwartz contract with benefit contingent on decease.
  • Keywords: Risk-neutral fair-price, unit-linked insurance contracts, martingale probability.
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