Early default risk and surrender risk: impacts on participating life insurance policies

DOI10.1016/j.insmatheco.2017.11.001zbMath1398.91318OpenAlexW2774284177MaRDI QIDQ1697211

Chunli Cheng, Jing Li

Publication date: 15 February 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.11.001

zbMATH Keywords

early default riskpartial rationalityparticipating life insurance policiespricing partial differential equationregulator's interventionsurrender risk

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Related Items (5)

An analytical study of participating policies with minimum rate guarantee and surrender option ⋮ Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method ⋮ Pricing and hedging defaultable participating contracts with regime switching and jump risk ⋮ Liquidation risk in insurance under contemporary regulatory frameworks ⋮ Surrender contagion in life insurance

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