Valuation of Life Insurance Liabilities and Related Insurance and Financial Products
Grant Data
Project Title
Valuation of Life Insurance Liabilities and Related Insurance and Financial Products
Principal Investigator
Professor Yang, Hailiang
(Principal Investigator (PI))
Duration
48
Start Date
2018-09-01
Amount
456452
Conference Title
Valuation of Life Insurance Liabilities and Related Insurance and Financial Products
Presentation Title
Keywords
catastrophe event, dependent models, minimum death benefits, valuation and risk management, variable annuities
Discipline
Probability & Statistics,Others - Mathematics
Panel
Physical Sciences (P)
HKU Project Code
17305018
Grant Type
General Research Fund (GRF)
Funding Year
2018
Status
Completed
Objectives
1 Investigate valuation of insurance and financial products whose exercise time dependents on the underlying asset. 2 Consider Phase-type stopping of jump diffusion and their applications in valuing equity-linked death benefits. 3 Tackle risk management problems for portfolios with variable annuities.