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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
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.
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- Research Article
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- Copyright © International Actuarial Association 2011