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.
Keywords: Participating life insurance policies; correlated jump diffusion process; default.
Volume
Vol. 41, No. 2
Page
1-19
Year
2011
Categories
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Publications
ASTIN Bulletin
