Valuation of Guaranteed Unitized Participating Life Insurance under MEGB2 Distribution

<div>Hedging amounts (<span class="nowrap"><svg height="12.5794pt" id="M254" style="vertical-align:-3.29107pt" version="1.1" viewbox="-0.0498162 -9.28833 10.1873 12.5794" width="10.1873pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M494 514C482 587 419 712 303 712C238 712 174 667 174 603C174 561 205 514 249 449C219 438 187 422 162 407C93 366 23 283 23 177C23 69 87 -12 190 -12C244 -12 288 5 328 33C406 87 444 170 444 249C444 329 404 391 331 475C265 550 222 605 222 627C222 647 238 657 267 657C355 657 421 585 484 499L494 514ZM359 234C359 143 319 30 219 30C172 30 114 75 114 178C114 275 163 343 195 378C212 397 241 415 269 425C305 382 359 313 359 234Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,6.396,3.132)"><path d="M329 433H203L239 587L230 596L147 534L123 433H57L30 395L34 388H115L61 129C37 16 59 -12 85 -12C147 -12 222 58 260 98L241 125C212 95 160 62 144 62C132 62 127 71 138 126L192 386L305 394L329 433Z"></path></g></svg>,</span> <span class="nowrap"><svg height="12.997pt" id="M255" style="vertical-align:-3.2911pt" version="1.1" viewbox="-0.0498162 -9.7059 9.09118 12.997" width="9.09118pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M430 689C430 695 425 700 413 700C377 700 332 667 290 635C232 640 213 677 213 696C213 713 220 724 226 732L209 744C166 731 135 700 135 674C135 636 184 601 255 599C144 503 23 345 23 181C23 82 68 44 135 20C156 12 177 7 202 2C238 -5 252 -25 252 -53C252 -98 211 -144 192 -164L214 -187C257 -152 328 -92 328 -19C328 31 298 58 251 70C230 75 208 81 189 88C142 105 108 134 108 208C108 346 202 512 303 595C352 599 430 626 430 689Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,5.304,3.132)"><path d="M329 433H203L239 587L230 596L147 534L123 433H57L30 395L34 388H115L61 129C37 16 59 -12 85 -12C147 -12 222 58 260 98L241 125C212 95 160 62 144 62C132 62 127 71 138 126L192 386L305 394L329 433Z"></path></g></svg>)</span> on MEGB2 returns.</div>

Discrete Dynamics in Nature and Society

fig7

Figure 7

Figure 7: Valuation of Guaranteed Unitized Participating Life Insurance under MEGB2 Distribution 