UNIQUENESS OF THE FAIR PREMIUM FOR EQUITY-LINKED LIFE-INSURANCE CONTRACTS

An equity-linked life insurance contract combines an endowment life in surance and an investment strategy with a minimum guarantee. The benef it of this contract is determined by the guaranteed amount plus a bonu s equal to a call on the portfolio. This bonus is similar to an Asian option. This article analyzes the relationship between the periodic in surance premium and its proportional share invested into the portfolio . For a general model of the financial risks we show the existence and uniqueness of an insurance premium. Furthermore the premium is strict ly increasing and convex as a function of the share invested.