Pricing Life Insurance Products With Lévy Processes Under No-arbitrage Framework

The pricing problem of life insurance is always the case of life theoretical research, and the price of the life insurance has direct influence on the life business development especially commerial insurance. Financial option and fulture will be the important part of life insurance investment. This paper introduce the life insurance pricing combined arbitrage-free model based on B-S firstly. Asset price movements include the "normal" vibrations and the "abnormal" vibrations. The arriving of important information always resulted in the "abnormal" vibrations. Because the B-S model cannot reflect the influence of the "abnormal" vibrations, we assume that the asset is driven by a Lévy process. We get the partial integrodifferential equation of the asset, and we choose the Gamma process to be the realization form of the Lévy process and get the sulotion on account of claims which always exhibit the feature of heavy tail. Besides, we obtain the corresponding investment strategy through combining with the asset share pricing method which is strictly proved. At the last we have researched the finite element method of the differential equations which are got by the preceding process and make an empirical analysis.