Development and pricing of a new participating contract

in North American Actuarial Journal, 10 (4)

ISSN : 1092-0277

Bernard, Carole ; Le Courtois, Olivier (1975-....) ; Quittard-Pinon, François (1945-....)

Voir la revue «NAAJ, North American Actuarial Journal»

This article designs and prices a new type of participating life insurance contract. Participating contracts are popular in the United States and European countries. They present many different covenants and depend on national regulations. In the present article we design a new type of participating contract very similar to the one considered in other studies, but with the guaranteed rate matching the return of a government bond. We prove that this new type of contract can be valued in closed ... form when interest rates are stochastic and when the company can default.

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