We study the valuation of unit-linked life insurance contracts with surrender guarantees. Instead of solving an optimal stopping problem, we propose a more realistic approach accounting for policyholders' rationality in exercising their surrender option. The valuation is conducted at the...

We develop a regime-switching rational expectation model, where both the market value of a reference fund and the surrender intensity of a policyholder change randomly over time according to the evolution of a continuous-time Markov chain with a finite number of states. The contract value of a...