Table of Contents Author Guidelines Submit a Manuscript
The Scientific World Journal
Volume 2014, Article ID 314286, 11 pages
http://dx.doi.org/10.1155/2014/314286
Research Article

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

Facultad de Ciencias, Universidad de Salamanca, Plaza Merced, 37008 Salamanca, Spain

Received 30 August 2013; Accepted 11 November 2013; Published 11 February 2014

Academic Editors: T. Prieto-Rumeau and O. Valero

Copyright © 2014 Javier Villarroel. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

We consider the fair martingale prize of insurance contracts with benefit received either at the insurer’s demise or at maturity. We show how to modify the dynamics of the underlying so as to incorporate the possibility that the traded stock has a strong support at some level. The resulting dynamics is integrated and the fair prize of several natural endowment-insurance contracts is obtained.