Optimal Hedging and Pricing of Equity-Linked Life Insurance Contracts in a Discrete-Time Incomplete Market

Table 1

Illustrative numerical results for two pure endowment contracts with guarantee.

Case	Rate	Maturity	Hedging capital	Risk	Risk interval	Return
	𝑟	𝑇	𝐶0	𝐌^∗		Δ
1	0.02	10	206.94	−1.83	(−4.25, 2.96)	43.22
2	0.02	10	258.67	2.53	(0.32, 5.49)	78.88
3	0.02	10	323.34	4.62	(3.18, 7.33)	124.92
4	0.02	10	355.67	5.43	(3.32, 7.79)	153.06
5	0.02	20	378.32	1.84	(0.58, 3.95)	114.62
6	0.02	20	442.19	2.61	(1.17, 4.69)	161.54
7	0.02	20	491.32	3.15	(2.23, 4.92)	191.72
8	0.02	20	540.45	3.51	(2.49, 5.04)	222.07
9	0.04	10	373.38	6.15	(3.38, 8.92)	195.05
10	0.04	10	434.16	7.18	(4.79, 10.76)	234.51
11	0.04	10	477.58	7.86	(5.38, 11.07)	256.19
12	0.04	20	629.13	3.44	(3.04, 4.40)	234.49
13	0.04	20	669.29	3.54	(3.09, 4.86)	256.75
14	0.04	20	736.22	3.69	(3.49, 4.93)	288.23