Some Applications of Financial Economics to Insurance

Hanji Shang
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Hanji Shang: Fudan University, China

Chapter 6 in Actuarial Science:Theory and Methodology, 2006, pp 201-244 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionGeneral Framework of the Valuation of Unit-linked Insurance PolicyDifferential Equation Models for the Valuation of Policies without Surrender OptionP.D.E. Model for the Valuation of Policies with Surrender OptionGeneralized Expected Discounted Value ApproachFair Valuation of First Kind of Unit-linked PolicyThe Case σ(t, A) = 0The Case σ(t, A) ≠ 0Fair Valuation of Second Kind of Unit-linked Policy without Surrender OptionP.D.E. ApproachG.E.D.V. ApproachFair Valuation of Second Kind of Unit-linked Policy with Surrender OptionAnalysis of ParametersLocal Analysis of Free Boundary near the Expiry DateIntegral Equation on ν(t, A)Numerical ResultsLinear Complementary Problem and Projected SOR MethodSolving Integral Equation (6.131)References

Keywords: Actuarial Science; Actuarial Mathematics; Risk Model; Risk Analysis; Fuzzy Mathematics; Financial Economics; Solvency Supervision; Information Processing; Insurance (search for similar items in EconPapers)
Date: 2006
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