Economics, Econometrics and Finance
8 years ago

New model revolutionizes fair valuation of participating life insurance contracts!

Insurance Mathematics and Economics
Fair valuation of path-dependent participating life insurance contracts
Antti Juho Tanskanen, Jani Lukkarinen

Paper Summary

The article presents a new model for fairly valuing participating life insurance contracts, including bonus policies. This model considers interest rate guarantees and bonus policies, and calculates fair values based on market conditions. The model provides both numerical results and closed-form solutions for valuing these complex insurance contracts.

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