Abstract
In this paper, we combined with the option pricing theory of financial mathematics on the basis of actuarial theory to research the fair premium of endowment life insurance dividends. Taking advantage of the application of the Ito’s Formula of option pricing theory, construct a risk neutral investment portfolio with the Vasicek single factor term structure of interest rate model. And then making use of the \( \Delta \)-hedging ideas to get the stochastic differential equations of the fair premium of the insurance contract.
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References
Black F, Scholes M (1973) The pricing of options and corporate liabilities. J Polit Econ 81(3):637–654
Nielsen JA, Sandman K (1995) Equity-linked life insurance; a model with stochastic interest rates. Insur Math Econ 16:225–253
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© 2011 Springer-Verlag Berlin Heidelberg
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Qiu, D., Hu, Y., Wang, L. (2011). The Application of Option Pricing Theory in Participating Life Insurance Pricing Based On Vasicek Model. In: Wu, D. (eds) Quantitative Financial Risk Management. Computational Risk Management, vol 1. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-19339-2_4
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DOI: https://doi.org/10.1007/978-3-642-19339-2_4
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Print ISBN: 978-3-642-19338-5
Online ISBN: 978-3-642-19339-2
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