 Valuation of a multistate life insurance contract with random benefitsSvein-Arne Persson Scandinavian Journal of Management, 1993, vol. 9, issue Supplement 1, S73-S86 Abstract: We present a model where the value of the life insurance benefit is random. The policy is at each point in time assumed to be in one of a finite number of states and the evolution of the policy through time is modelled by a time-continuous, non-homogeneous Markov chain. The insurance period of a life insurance contract is long compared to the contract period of a typical financial contingent claim. The value of the insurance benefit is assumed to follow a geometric Gaussian process which has certain appealing properties when dealing with such long contract periods. We use the martingale arbitrage pricing theory to derive the market value of a quite general life insurance policy and deduce the corresponding Thiele's differential equation. Keywords: Unit-linked; insurance; equity-linked; insurance; Thiele's; differential; equation; arbitrage; pricing; theory; continuous; time; Markov; chains (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:scaman:v:9:y:1993:i:supplement1:p:s73-s86 Ordering information: This journal article can be ordered from Access Statistics for this article Scandinavian Journal of Management is currently edited by Janne Tienari More articles in Scandinavian Journal of Management from Elsevier |
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