Valuation of Endowment-Insurance Equity-Linked Contracts for Stocks with Exotic Dynamics

Figure 1

Mortality premium as a function of time to maturity given in years corresponding to a constant annual interest rate 𝑟=4.5%. Other parameters are 𝑥=5, 𝜎=25%, 𝜇=0.015 (thick solid line) and 𝑥=5, 𝜎=15%, 𝜇=0.025 (thin line).