This paper considers the valuation of equity-linked life insurance contracts that offer an annually guaranteed minimum return. The policy premiums are invested in a reference portfolio that is modeled by means of a regime switching Lévy process where the model parameters depend on a continuous,...

We investigate the performance of the Heston stochastic volatility model in describing the probability distribution of returns both in the case of single assets and in the case of asset portfolios. The R. parameters of the Heston model are estimated from observed market prices using a simple...