Research Article
Optimal Hedging and Pricing of Equity-Linked Life Insurance Contracts in a Discrete-Time Incomplete Market
Table 4
Return statistics for original and recalibrated strategies (200 simulated S&P 500 Index paths for 2005–2010).
| Original strategy | Recalibrated strategy |
| Min | −99.66 | Min | −107.07 | 1st Quarter | 22.27 | 1st Quarter | 95.79 | Median | 60.93 | Median | 120.23 | Mean | 59.22 | Mean | 115.71 | 3rd Quarter | 97.843 | 3rd Quarter | 151.23 | Max | 186.65 | Max | 254.15 |
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