| Summary: | 碩士 === 國立中央大學 === 財務金融研究所 === 90 === This thesis considers the valuation of equity-linked life insurance policies with an asset value guarantee. After thinking the stochastic characteristic of interest rates, we use least-square approach to value the insurance premium with minimum guarantee. Finally, we use Grant, Vora, and Weeks(1996) to value the insurance premium under jump risks. Afterwards, we examine the sensitivity of insurance premium to parameters, such as volatility, instantaneous interest rate elasticity reference portfolio, instantaneous risk-free rate of interest, minimum guaranteed interest rate, correlation coefficient and finally the effect of the jump risks.
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