scholarly journals Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment

2008 ◽  
Vol 43 (1) ◽  
pp. 29-40 ◽  
Author(s):  
Katharina Zaglauer ◽  
Daniel Bauer
Keyword(s):  
Interest Rate ◽  
Life Insurance ◽  
Stochastic Interest Rate ◽  
Insurance Contracts ◽  
Stochastic Interest ◽  
Risk Neutral ◽  
Rate Environment

Pricing derivatives with barriers in a stochastic interest rate environment

2008 ◽  
Vol 32 (9) ◽  
pp. 2903-2938 ◽  
Author(s):  
Carole Bernard ◽  
Olivier Le Courtois ◽  
François Quittard-Pinon
Keyword(s):  
Interest Rate ◽  
Stochastic Interest Rate ◽  
Stochastic Interest ◽  
Rate Environment

Reserve of Semi-Continuous Life Insurance Model under Random Interest Rate

2014 ◽  
Vol 998-999 ◽  
pp. 1626-1629
Author(s):  
Jing Wei ◽  
Shi Gang Ge
Keyword(s):  
Brownian Motion ◽  
Interest Rate ◽  
Poisson Process ◽  
Uniform Distribution ◽  
Life Insurance ◽  
Stochastic Interest Rate ◽  
Reflected Brownian Motion ◽  
Stochastic Interest ◽  
The Common ◽  
Insurance Model

In this paper, it aims at an n-year term increasing life insurance model, considers the factual statements and the bursting out things’ influence on interest rate, establishes the model for stochastic interest rate by Reflected Brownian motion associating with Poisson process, and gives the common expression of semi-continuous reserve and the expression in the suppose of Uniform distribution of death.

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