Participating Insurance Pure Premium Pricing Discussion

The participation policy is one of the important life insurance products. The participation policy holder can enjoy the surplus of dispensability. The surplus of dispensability is the profits which the life insurance company manages. The surplus of dispensability are adjusted in such way that the performances of life insurance company on the investment portfolio . The surplus is uncertain because the incomes of life insurance company are uncertain, but the life insurance gives a guarantee benefits to the policy holder.In the pricing of the participation policy, it is assumed that the expenses of participation policy are higher than the traditional products, so the insurance company distributes the policy holder according to the standards. The metal of participation policy is no difference from non-participation policy in the guarantee. The most conspicuous feature of participation policy lays in the calculation of the surplus at the end of each year and the distribution of the surplus between insurance and clients.As the participation policy includes the minimum interest rate guaranteed and the annuities of the participation policy are variable based to the reward level of investment portfolio, so the measurement of the participation policy is different from the traditional life insurance product. It embeds a put option. The hypothesis of actuaries about riskless interest and performance of investment portfolio and the level of minimum interest rate guaranteed could influence the expenses of the participation policy. It is the main problem that how we make out the uncertain surplus and minimum interest rate guaranteed which constitutes the expense of the participation policy. The thesis uses the approach of martingale and insurance actuarial techniques to analyze the problem of the single premium, so as to give...