FAIR VALUATION OF LIFE INSURANCE CONTRACTS UNDER A CORRELATED JUMP DIFFUSION MODEL

被引：8
|
作者：
Dong, Yinghui [1 ,2 ,3 ]
机构：
[1] Soochow Univ, Dept Math, Suzhou, Peoples R China
[2] Soochow Univ, Ctr Financial Engn, Suzhou, Peoples R China
[3] Suzhou Sci & Technol Univ, Dept Math, Suzhou, Peoples R China
来源：
ASTIN BULLETIN | 2011年 / 41卷 / 02期
关键词：
Participating life insurance policies; correlated jump diffusion process; default; MARKET VALUE; RISK MODEL; LIABILITIES; FRAMEWORK;
D O I：
10.2143/AST.41.2.2136984
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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 Jorgensen (1997). We use the Laplace transforms methods to price these options.
引用
收藏
页码：429 / 447
页数：19
相关论文
共 50 条
  • [1] Fair Valuation of Life Insurance Contracts Under a Two-Sided Jump Diffusion Model
    Dong, Yinghui
    Wang, Guojing
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2013, 42 (21) : 3926 - 3948
  • [2] Fair Valuation of Participating Life Insurance Contracts with Jump Risk
    Le Courtois, Olivier
    Quittard-Pinon, Francois
    GENEVA RISK AND INSURANCE REVIEW, 2008, 33 (02): : 106 - 136
  • [3] Fair Valuation of Participating Life Insurance Contracts with Jump Risk
    Olivier Le Courtois
    François Quittard-Pinon
    The Geneva Risk and Insurance Review, 2008, 33 : 106 - 136
  • [4] Fair valuation of insurance contracts under Levy process specifications
    Kassberger, Stefan
    Kiesel, Ruediger
    Liebmann, Thomas
    INSURANCE MATHEMATICS & ECONOMICS, 2008, 42 (01): : 419 - 433
  • [5] Valuation of mixed life insurance contracts under stochastic correlated mortality and interest rates
    Hanna, Vanessa
    Devolder, Pierre
    EUROPEAN ACTUARIAL JOURNAL, 2024, 14 (01) : 63 - 98
  • [6] Valuation of mixed life insurance contracts under stochastic correlated mortality and interest rates
    Vanessa Hanna
    Pierre Devolder
    European Actuarial Journal, 2024, 14 : 63 - 98
  • [7] Fair valuation of path-dependent participating life insurance contracts
    Tanskanen, AJ
    Lukkarinen, J
    INSURANCE MATHEMATICS & ECONOMICS, 2003, 33 (03): : 595 - 609
  • [8] A Levy process-based framework for the fair valuation of participating life insurance contracts
    Ballotta, L
    INSURANCE MATHEMATICS & ECONOMICS, 2005, 37 (02): : 173 - 196
  • [9] Quantile hedging on equity-linked life insurance contracts under jump-diffusion dynamics
    Tong, S. (stong2@ualberta.ca), 1600, ICIC Express Letters Office, Tokai University, Kumamoto Campus, 9-1-1, Toroku, Kumamoto, 862-8652, Japan (07):
  • [10] Valuation of Insurance Products with Shout Options in a Jump-Diffusion Model
    Liu, Jun
    Liang, Zhian
    MATHEMATICAL PROBLEMS IN ENGINEERING, 2021, 2021 (2021)
12345