Market value of life insurance contracts under stochastic interest rates and default risk

被引：42

作者：

Bernard, C

Le Courtois, O

Quittard-Pinon, F ^{[1
]}

机构：

[1] Univ Lyon 1, Grad Sch Arctuarial Studies, ISFA, F-69365 Lyon, France

[2] EM Lyon Grad Sch Management, Lyon, France

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2005年 / 36卷 / 03期

关键词：

participating life insurance policies; contingent claims valuation; default risk; stochastic interest rates; Fortet's equation;

D O I：

10.1016/j.insmatheco.2005.01.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The purpose of this article is to value some life insurance contracts in a stochastic interest rate environment taking into account the default risk of the underlying insurance company. The participating life insurance contracts considered here can be expressed as portfolios of barrier options as shown by Grosen and Jorgensen [J. Risk Insurance 64 (3) (1997) 481-503]. In order to price these options, the Longstaff and Schwartz [J. Finance 50 (3) (1995) 789-820] methodology is used with the Collin-Dufresne and Goldstein [J. Finance 56 (5) (2001) 1929-1957] correction. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：499 / 516

页数：18

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