Honors Program Theses

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Open Access Honors Program Thesis

First Advisor

Shangzhen Luo

Abstract

This comprehensive study of equity-linked insurance options will explore the pricing of certificates of deposit and life insurance options using a present value method. With this study, I will be able to construct and price various equity-linked insurance products, with a focus on life insurance, that insurance companies could then sell to prospective customers. I will use concepts and formulas based in actuarial math, probability theory, and financial engineering in order to construct, price, and analyze new equity-linked insurance products. The fundamental methodology I will use involves applying pricing theory based on the expected value of the insurance payoff present value. To calculate this, I will need to make some assumptions with regard to factors such as interest rate, current stock price, and volatility. I will then draw conclusions based on the new products and prices I create.

There is a need for this type of study within the actuarial community as little research exists on the impacts of equity-linked insurance pricing. Equity-linked insurance products do not always offer the best returns, so I want to find and model a pricing method that still makes these products appealing to potential investors. While the methods and pricing theories I will be using are not new, the products I create using them will be innovative and original. My potential product could benefit both insurance carriers and consumers.

Year of Submission

2018

Department

Department of Mathematics

University Honors Designation

A thesis submitted in partial fulfillment of the requirements for the designation University Honors

Date Original

12-2018

Object Description

1 PDF file (26 pages)

Language

EN

File Format

application/pdf

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