Researchers at University of Iowa Have Reported New Data on Insurance Economics (Geometric stopping of a random walk and its applications to valuing…

Researchers at University of Iowa Have Reported New Data on Insurance Economics (Geometric stopping of a random walk and its applications to valuing equity-linked death benefits)

By a News Reporter-Staff News Editor at Insurance Weekly News -- Current study results on Insurance Economics have been published. According to news reporting originating in Iowa City, Iowa, by VerticalNews journalists, research stated, "We study discrete-time models in which death benefits can depend on a stock price index, the logarithm of which is modeled as a random walk. Examples of such benefit payments include put and call options, barrier options, and lookback options."

The news reporters obtained a quote from the research from the University of Iowa, "Because the distribution of the curtate-future-lifetime can be approximated by a linear combination of geometric distributions, it suffices to consider curtate-future-lifetimes with a geometric distribution. In binomial and trinomial tree models, closed-form expressions for the expectations of the discounted benefit payment are obtained for a series of options."

According to the news reporters, the research concluded: "They are based on results concerning geometric stopping of a random walk, in particular also on a version of the Wiener Hopf factorization."

For more information on this research see: Geometric stopping of a random walk and its applications to valuing equity-linked death benefits. Insurance Mathematics & Economics, 2015;64():313-325. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

Our news correspondents report that additional information may be obtained by contacting H.U. Gerber, University of Iowa, Dept. of Stat & Actuarial Sci, Iowa City, IA 52242, United States. Additional authors for this research include E.S.W. Shiu and H.L. Yang.

Keywords for this news article include: Iowa City, United States, Insurance Economics, North and Central America

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