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
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