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Fair Valuation of Life Insurance Contracts Under a Correlated Jump Diffusion Model

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  • Dong, Yinghui

Abstract

In this paper, we study the fair valuation of participating life insurance contract, which is one of the most common life insurance products, under the jump diffusion model with the consideration of default risk. The participating life insurance contracts considered here can be expressed as portfolios of options as shown by Grosen and Jørgensen (1997). We use the Laplace transforms methods to price these options.

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  • Dong, Yinghui, 2011. "Fair Valuation of Life Insurance Contracts Under a Correlated Jump Diffusion Model," ASTIN Bulletin, Cambridge University Press, vol. 41(2), pages 429-447, November.
    • Handle: RePEc:cup:astinb:v:41:y:2011:i:02:p:429-447_00
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    Cited by:

    1. Alexander Bohnert, 2015. "The Impact of Guarantees on the Performance of Pension Saving Schemes: Insights from the Literature," Risks, MDPI, vol. 3(4), pages 1-28, November.
    2. Bohnert, Alexander & Gatzert, Nadine & Jørgensen, Peter Løchte, 2015. "On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 83-97.

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