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

Published online by Cambridge University Press:  09 August 2013

Yinghui Dong
Yinghui Dong*
Affiliation:
Department of Mathematics and The Center for Financial Engineering, Soochow University, Suzhou, P.R.China, Department of Mathematics, Suzhou Science and Technology University, Suzhou, P.R.China, Email: [email protected]
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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 policiescorrelated jump diffusion processdefault
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 41 , Issue 2 , November 2011 , pp. 429 - 447
Copyright
Copyright © International Actuarial Association 2011

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