Title :
Valuation Unit-Linked Life Insurance with Continuous-Installment Premium
Author :
Wang Qi ; Xu Zhijun ; Chen Huodi
Author_Institution :
East China Inst. of Technol., Fuzhou, China
Abstract :
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.
Keywords :
cost accounting; insurance; partial differential equations; pricing; arbitrage-free principle; capital market; continuous installment premium; life insurance; partial differential equations; payment model; policyholder; pricing; sub-account value process; two-phase approach; valuation unit; Contracts; Cost accounting; Economics; Insurance; Mathematical model; Pricing;
Conference_Titel :
Management and Service Science (MASS), 2011 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-6579-8
DOI :
10.1109/ICMSS.2011.5998500