Protection of a Company Issuing a Certain Class of Participating Policies in a Complete Market Framework

Carole Bernard, Olivier Le Courtois and François Quittard-Pinon

North American Actuarial Journal, 2010, vol. 14, issue 1, 131-149

Abstract: In this article we examine to what extent policyholders buying a certain class of participating contracts (in which they are entitled to receive dividends from the insurer) can be described as standard bondholders. Our analysis extends the ideas of Biihlmann and sequences the fundamental advances of Merton, Longstaff and Schwartz, and Briys and de Varenne. In particular, we develop a setup where these participating policies are comparable to hybrid bonds but not to standard risky bonds (as done in most papers dealing with the pricing of participating contracts). In this mixed framework, policyholders are only partly protected against default consequences. Continuous and discrete protections are also studied in an early default Black and Cox-type setting. A comparative analysis of the impact of various protection schemes on ruin probabilities and severities of a life insurance company that sells only this class of contracts concludes this work.

Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10920277.2010.10597581 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:uaajxx:v:14:y:2010:i:1:p:131-149

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/uaaj20

DOI: 10.1080/10920277.2010.10597581

Access Statistics for this article

North American Actuarial Journal is currently edited by Kathryn Baker

More articles in North American Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().