Study Of Pricing Life Insurance Risk Exotic Option

Base on the study of Life Insurance Securitization, first of all, the paper analyzes three kinds of Life Insurance Securitization by examples, i.e. life insurance risk securitization, embedded value securitization, and statutory reserve securitization. Then, the paper focuses on Life Insurance Risk Securitization. It finds the theoretical model for designing a kind of life insurance risk products-Mortality Risk Exotic Option, makes more reasonable assumptions and gives the pricing formulae for the product. If the paper makes theoretical and realistic significance for Life Insurance Securitization's development, it will be the author's honor.The paper consists of five chapters. The first chapter introduces the concept of Life Insurance Securitization, the current status of related study at home and aboard, and the necessity and economical importance of Life Insurance Securitization in China. Thus, the paper puts forwards its purpose and main content.The second chapter introduces the general knowledge of Asset Securitization and makes comparison between Asset Securitization and life Insurance Securitization. This chapter makes preparation for the following chapters.The third chapter makes analysis of life insurance risk securitization, embedded value securitization, and statutory reserve securitization. It analyzes the relationship of cash flows between related organizations. This chapter focuses on the life insurance risk securitization.The fourth chapter bases on the analysis in pervious chapter and the study of other people. It constructs the pricing model of the products, makes more reasonable assumptions of the mortality'distribution, and derives the pricing formulae for the products. This chapter is the core section.The fifth chapter makes summary. It points the innovations and imperfection of the paper and makes prospects for the related study in the future.