Title :
Fair Valuation of Participating Life Insurance Contracts
Author_Institution :
Sch. of Manage., Fudan Univ., Shanghai, China
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;
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
DOI :
10.1109/ICMSS.2010.5576932
