<?xml version="1.0" encoding="UTF-8"?><xml><records><record><source-app name="Biblio" version="7.x">Drupal-Biblio</source-app><ref-type>17</ref-type><contributors><authors><author><style face="normal" font="default" size="100%">R. H. LIU</style></author><author><style face="normal" font="default" size="100%">Q. ZHANG</style></author></authors></contributors><titles><title><style face="normal" font="default" size="100%">VALUATION OF GUARANTEED EQUITY-LINKED LIFE INSURANCE UNDER REGIME-SWITCHING MODELS</style></title><secondary-title><style face="normal" font="default" size="100%">Dynamic Systems and Applications</style></secondary-title></titles><keywords><keyword><style  face="normal" font="default" size="100%">93E03</style></keyword></keywords><dates><year><style  face="normal" font="default" size="100%">2011</style></year><pub-dates><date><style  face="normal" font="default" size="100%">2011</style></date></pub-dates></dates><urls><web-urls><url><style face="normal" font="default" size="100%">https://acadsol.eu/dsa/articles/20/08-DSA-352.pdf</style></url></web-urls></urls><volume><style face="normal" font="default" size="100%">20</style></volume><pages><style face="normal" font="default" size="100%">27</style></pages><language><style face="normal" font="default" size="100%">eng</style></language><abstract><style face="normal" font="default" size="100%">&lt;p&gt;This paper is concerned with the valuation of guaranteed equity-linked life insurance. The underlying reference equity fund and interest rate are dictated by a set of diffusions coupled by a finite state Markov chain. Two approaches are developed for pricing European options that are embedded in the life insurance contracts. The first approach involves a discounted characteristic function and inversion of Fourier transform. The second approach follows a Monte-Carlo simulation technique. These two approaches together with a bond valuation procedure are used to determine the fair value of the guaranteed equity-linked life insurance contracts. Finally, numerical examples are provided to illustrate the results.&lt;/p&gt;
</style></abstract><section><style face="normal" font="default" size="100%">101</style></section></record></records></xml>