Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts 

Abstract

The talk is devoted to how hedging methodologies developed in the modern financial mathematics can be exploited to price equity-linked life insurance contracts. In this talk, pure endowment life insurance contracts with fixed and flexible guarantees are considered. In our setting they are based on some variants of the Black-Scholes model and a jump-diffusion model for underlying risky assets. The main attention is paid to new types of hedging (quantile and efficient hedging), which, together with Black-Scholes and Margrabe formulae, create an effective actuarial analysis of such mixed investment instruments.