Valuation Unit-linked Life Insurance with Continuous-installment Premium

摘要：

In this paper, we present a two-phase approach to value unit-linked life insurance which the premium is paid continuously instead of up-front prior to a fixed time. At or before maturity, the policyholder withdraw a constant cash flow at proportion withdrawal rate from the corresponding sub-account regardless of the performance of the capital market. Under the unual assumptions, we derive the sub-account value process and build the payment model as well the withdrawal one. By using arbitrage-free principle and the two-phase method to analyze the discounted expect payoff, we achieve the pricing partial differential equations and deduce the fair policy value.

作者: Wang Qi Xu Zhijun Chen Huodi

作者单位: East China Institute of Technology Fuzhou 344000, China

会议类型: 国际会议

会议名称: International Conference on Management and Service Science(2011年第五届管理与服务科学国际会议 MASS 2011)

会议地点: 武汉

会议语种:英文

页码: 1-4

在线出版日期: 2011-08-12（万方平台首次上网日期，不代表论文的发表时间）