Time-risk Discount Valuation of Life Contracts

作     者：Dian-faChen GeorgeXiang 

作者机构：SchoolofMathematicsNankaiuniversityTianjin300071China LoomisSayles&CompanyL.P.OneFinancialCenterBoston02111USA 

出 版 物：《Acta Mathematicae Applicatae Sinica》 (应用数学学报（英文版）)

年 卷 期：2003年第19卷第4期

页      面：647-662页

核心收录：

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1204[管理学-公共管理] 020208[经济学-统计学] 07[理学] 020204[经济学-金融学（含∶保险学）] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 120404[管理学-社会保障] 0701[理学-数学] 

基　　金：Supported by a CRCG Grant of the University of Hong Kong and a RGC Grant of Hong Kong, HKSAR, China National Natural Science Foundation of China (No.10071009) 

主　　题：Valuation policy martingale backward stochastic differential equation 

摘      要：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.