FORWARD CLIQUET OPTION PADA ASURANSI JIWA INDEKS-TERJAMIN; FORWARD CLIQUET OPTION FOR GUARANTEED INDEXLINKED LIFE INSURANCE

ERI WIDYASTUTI, Gunardi

2014 | Disertasi | PROGRAM STUDI S2 MATEMATIKA

The market risk contained in guaranteed index-linked life insurance products can be managed with options. To prevent premature cancellation, a profit structure is chosen which corresponds to forward cliquet options. The pricing of these options is computed for a variety of payoff patterns. When the profit from the index contributes additively to the benefits, then a closed form is possible for prices.

Kata Kunci : guaranteed index-linked life insurance, forward cliquet options.