Unit-linked life insurances are an important class of insurance products. In the classical framework used for pricing such life insurance products, independence between biometric and market risks is assumed. We plan to work on a model without this assumption. Possible results found using this framework could be used for creating a worst-case scenario. It should also be possible to model customer behavior or the liquidation of an investment portfolio.
There are already some results under the assumption that the financial market does not permit any hedging strategies. We want to take hedging strategies into consideration - in complete as well as incomplete markets - and to minimize the associated risk with respect to various criteria.
