Faculty of Actuarial Science and Statistics 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
SOME COMPUTATIONAL RESULTS FOR THE FUZZY RANDOM VALUE OF LIFE ACTUARIAL LIABILITIES
The concept of fuzzy random variable has been applied in several papers to model the present value of life insurance liabilities. It allows the fuzzy uncertainty of the interest rate and the probabilistic behaviour of mortality to be used throughout the valuation process without any loss of information. Using this framework, and considering a triangular interest rate, this paper develops closed...
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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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