Cedric H. A. Koffi

Valuation of life-insurance contracts with multiple benefits under stochastic mortality: A QP-Rule framework in light of COVID-19

This paper examines the valuation of a life insurance contract combining a Guaranteed Minimum Income Benefit (GMIB), a surrender benefit, and a death benefit under stochastic mortality and financial risks. Building on the established QP-rule valuation approach and a hybrid financ...