Pricing models of equity-linked insurance products and LIBOR exotic derivatives

This thesis develops the pricing models of several equity-linked insurance products and LIBOR exotic derivatives. Some analytic approximations and numerical methods are applied to value those products if the closed-form solution does not exist. Pricing behaviours are also explored. I first analyze the dynamic fund protection which entitles the investor the right to reset his investment fund value to a reference stock index value. With embedded early withdrawal right, the valuation of these protected funds can be modeled as a free boundary value problem. Next I construct the contingent claims models that price participating poli-cies with interest rate crediting mechanism, sharing profits from an investment portfolio. Usually the interest is credited to the policy holder at or above cer-tain specified guaranteed rate periodically. The policy holder may also receive a terminal bonus. However the insurer may default at maturity. Under certain assumptions, the perturbation technique is used to approximate the solution. The guaranteed annuity option provides the holder the right to either receive at retirement an assured accumulated fund or a life annuity at a fixed rate. I propose three analytic approximation methods including stochastic duration approach, Edgeworth expansion and analytic approximation in affine diffusions to value this option under a multi-factor interest rate model. The target redemption note is an index linked note that provides a guar-anteed sum of coupons (target cap) with possibility of early termination. In a typical structure, the first coupon payment is fixed. The subsequent coupons are calculated based on an inverse floating LIBOR / Euribor formula. Once the accumulated coupon has reached the pre-specified target cap, the note will be terminated with final payment of the par. I propose numerical schemes using the finite volume approach and develop a Monte Carlo simulation algorithm