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

Yinghui Dong

ASTIN Bulletin, 2011, vol. 41, issue 2, 429-447

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.

Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:cup:astinb:v:41:y:2011:i:02:p:429-447_00

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