Ballotta, Laura; Haberman, Steven; Wang, Nan - In: Journal of Risk & Insurance 73 (2006) 1, pp. 97-121
The purpose of the article is to apply contingent claim theory to the valuation of the type of participating life insurance policies commonly sold in the UK. The article extends the techniques developed by Haberman, Ballotta, and Wang (2003) to allow for the default option. The default option is...