Valuation of contingent claims with mortality and interest rate risks
نویسندگان
چکیده
We consider the pricing of life insurance contracts under stochastic mortality and interest rates assumed not independent of each other. Employing themethod of change ofmeasure together with the Bayes’ rule for conditional expectations, solution expressions for the value of common contracts are obtained. A demonstration of how to apply our proposed stochastic modelling approach to value survival and death benefits is provided. Using the Human Mortality Database and UK interest rates, we illustrate that the dependence between interest rate andmortality dynamics has considerable impact in the value of even a simple survival benefit. © 2008 Elsevier Ltd. All rights reserved.
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عنوان ژورنال:
- Mathematical and Computer Modelling
دوره 49 شماره
صفحات -
تاریخ انتشار 2009