Equity-linked insurances and guaranteed annuity options

Abstract

We consider here term and whole-life cases of the equity-linked life insurance(ELLI), and the guaranteed annuity option (GAO). We present a financial instrument which is a combination of ELLI and GAO in a stochastic interest rate framework.equity-linked life insurance; guaranteed annuity option; geometric Brownian motion; Ornstein-Uhlenbeck process; Monte Carlo simulations