Alternative framework for the fair valuation of participating life insurance contracts ∗
نویسنده
چکیده
In this communication, we develop suitable valuation techniques for a with-profit/unitized with profit life insurance policy providing interest rate guarantees, when a jump-diffusion process for the evolution of the underlying reference portfolio is used. Particular attention is given to the mispricing generated by the misspecification of a jumpdiffusion process for the underlying asset as a pure diffusion process, and to which extent this mispricing affects the profitability and the solvency of the life insurance company issuing these contracts.
منابع مشابه
Faculty of Actuarial Science and Statistics Alternative framework for the fair valuation of participating life insurance contracts
In this communication, we develop suitable valuation techniques for a with-profit/unitized with profit life insurance policy providing interest rate guarantees, when a jump-diffusion process for the evolution of the underlying reference portfolio is used. Particular attention is given to the mispricing generated by the misspecification of a jumpdiffusion process for the underlying asset as a pu...
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