Market value of life insurance contracts under stochastic interest rates and default risk
The purpose of this article is to value some life insurance contracts in a stochastic interest rate environment taking into account the default risk of the underlying insurance company. The participating life insurance contracts considered here can be expressed as portfolios of barrier options as sh...
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| Veröffentlicht in: | Insurance, mathematics & economics mathematics & economics, 2005-06, Vol.36 (3), p.499-516 |
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| container_end_page | 516 |
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| container_issue | 3 |
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| container_title | Insurance, mathematics & economics |
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| creator | Bernard, Carole Le Courtois, Olivier Quittard-Pinon, François |
| description | The purpose of this article is to value some life insurance contracts in a stochastic interest rate environment taking into account the default risk of the underlying insurance company. The participating life insurance contracts considered here can be expressed as portfolios of barrier options as shown by Grosen and Jørgensen [J. Risk Insurance 64 (3) (1997) 481–503]. In order to price these options, the Longstaff and Schwartz [J. Finance 50 (3) (1995) 789–820] methodology is used with the Collin-Dufresne and Goldstein [J. Finance 56 (5) (2001) 1929–1957] correction. |
| doi_str_mv | 10.1016/j.insmatheco.2005.01.002 |
| format | Article |
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| ispartof | Insurance, mathematics & economics, 2005-06, Vol.36 (3), p.499-516 |
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| language | eng |
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| source | RePEc; Elsevier ScienceDirect Journals |
| subjects | Bankruptcy Contingent claims valuation Default Default risk Financial economics Fortet’s equation Insurance claims Insurance policies Interest rates Life insurance Market structure Mathematical economics Participating life insurance policies Risk Stochastic interest rates Stochastic models Stochastic processes Studies Uncertainty |
| title | Market value of life insurance contracts under stochastic interest rates and default risk |
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