On Fair Valuation Of Equity-Linked Pure Endowment Insurance Under HJM Model With State-Dependent Volatility

This dissertation focuses on the fair valuation of equity-linked pure endowment insurance, which can be classified as deterministic payoff contract, pure equity-linked life contract, equity-linked life contract with guarantees and equity-linked life contract with minimum guarantees and capped benefits.We deduce the forward rate curve mainly based on the term structure, and then give the formulas for the linked assets and single premiums.HJM model with state-dependent volatility is applied to the dissertation, and that is the innovative point of the paper. Specifically, we set the volatility to be σ(t,T,f(t,T))=σ min(f(t,T),λ), where σ and λ are positive, and highlight the derivation of forward rate.As for the solution procedure, we adopt the Euler-Maruyama approximation to obtain the discrete values, and then implement the Monte Carlo method for the simulation of forward rate.