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Time-risk Discount Valuation of Life Contracts

Time-risk Discount Valuation of Life Contracts In this paper a new approach is developed to value life insurance contracts by means of the method of backward stochastic differential equation. Such a valuation may relax certain market limitations. Following this approach, the values of single decrement policies are studied and Thiele's-type PDEs for general life insurance contracts are derived. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

Time-risk Discount Valuation of Life Contracts

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Publisher
Springer Journals
Copyright
Copyright © 2003 by Springer-Verlag Berlin Heidelberg
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/s10255-003-0139-6
Publisher site
See Article on Publisher Site

Abstract

In this paper a new approach is developed to value life insurance contracts by means of the method of backward stochastic differential equation. Such a valuation may relax certain market limitations. Following this approach, the values of single decrement policies are studied and Thiele's-type PDEs for general life insurance contracts are derived.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Nov 2, 2015

References