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Pricing Life Insurance with Poisson Jump-diffusion Under No-arbitrage Framework

Liu Xiang-dong, Zhong Nie


This paper focuses on the pricing problem of life insurance combined arbitrage-free model with Poisson jump-diffusion. Asset price movements include the "normal" vibrations and the "abnormal" vibrations. The arriving of important information always resulted in the "abnormal" vibrations.
Those are described by Poisson process since the arrival of information usually clicks on in some discrete time. This paper obtained the partial differential equations for pricing life insurance with a Poisson jump-diffusion. Besides, we obtain the corresponding investment strategy through combining with the asset share pricing method which is strictly proved.


Arbitrage-free Model with Poisson Jump-diffusion; Life insurance pricing; Partial differential equations; The asset share pricing

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