An exploration of the immunization approach to provision for unit-linked policies with guarantees
- 1 September 1982
- journal article
- Published by Cambridge University Press (CUP) in Journal of the Institute of Actuaries
- Vol. 109 (2) , 241-284
- https://doi.org/10.1017/s002026810003626x
Abstract
1.1. This paper explores the possibility that a company which sells unit-linked policies with death and maturity benefit guarantees may follow an investment strategy which reduces the risks associated with them. It originated when the author was requested by the Institute to study papers on the subject by P. P. Boyle, M. J. Brennan and E. S. Schwartz of the University of British Columbia in Canada and also a paper presented to the Society of Actuaries in Ireland by J. C. Fagan.Keywords
This publication has 3 references indexed in Scilit:
- Review of the Principles of Life-Office ValuationsPublished by Taylor & Francis ,2017
- The Pricing of Options and Corporate LiabilitiesJournal of Political Economy, 1973
- Theory of Rational Option PricingThe Bell Journal of Economics and Management Science, 1973