DocumentCode
2166966
Title
Fair Valuation of Participating Life Insurance Contracts
Author
Hu Jinjin
Author_Institution
Sch. of Manage., Fudan Univ., Shanghai, China
fYear
2010
fDate
24-26 Aug. 2010
Firstpage
1
Lastpage
4
Abstract
Fair valuation of the participating life insurance contracts (PLIC) is very important for life insurance companies. This paper applies stochastic discount factor model with specified exponential affine function form to value the contracts while taking the stochastic interest rate and assets structure into account. Compared with existed method, this new model performs better.
Keywords
affine transforms; contracts; economic indicators; insurance; stochastic processes; asset structure; exponential affine function form; fair valuation; participating life insurance contract; stochastic discount factor model; stochastic interest rate; Companies; Contracts; Cost accounting; Economic indicators; Insurance; Resource management; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Management and Service Science (MASS), 2010 International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-5325-2
Electronic_ISBN
978-1-4244-5326-9
Type
conf
DOI
10.1109/ICMSS.2010.5576932
Filename
5576932
Link To Document