Valuation and Hedging of the Ruin-Contingent Life Annuity (RCLA)
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چکیده
منابع مشابه
Valuation and Hedging of the Ruin-Contingent Life Annuity (RCLA)
VALUATION AND HEDGING OF THE RUIN-CONTINGENT LIFE ANNUITY This paper analyzes a type of mortality contingent-claim called a ruin-contingent life annuity (RCLA). This product is essentially a stand-alone version of the option embedded inside of a variable annuity, but without the buyer having to hand-over investment assets to the insurance company. The annuitant’s (i.e. long position) payoff fro...
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ژورنال
عنوان ژورنال: Journal of Risk and Insurance
سال: 2013
ISSN: 0022-4367
DOI: 10.1111/j.1539-6975.2012.01509.x