Costabile, Massimo; Gaudenzi, Marcellino; Massabò, Ivar; … - In: Insurance: Mathematics and Economics 45 (2009) 2, pp. 286-295
We tackle the problem of computing fair periodical premiums of an equity-linked policy with a maturity guarantee and an embedded surrender option. We consider the policy as a Bermudan-style contingent claim that can be exercised at the premium payment dates. The evaluation framework is based on...