A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities

被引：0
|
作者：
Bjarke Jensen
Peter Løchte Jørgensen
Anders Grosen
机构：
[1] SEB Fixed Income Research,Department of Management
[2] University of Aarhus,Department of Finance
[3] Aarhus School of Business,undefined
来源：
The Geneva Papers on Risk and Insurance Theory | 2001年 / 26卷
关键词：
participating life insurance policies; embedded options; contingent claim valuation; numerical solution; finite difference approach;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper sets up a model for the valuation of traditional participating life insurance policies. These claims are characterized by their explicit interest rate guarantees and by various embedded option elements, such as bonus and surrender options. Owing to the structure of these contracts, the theory of contingent claims pricing is a particularly well-suited framework for the analysis of their valuation.
引用
收藏
页码：57 / 84
页数：27
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