The purpose of this paper is to develop suitable valuation techniques for the broad category of participating life insurance policies. The nature of the liability implied by these contracts allows treating them as options written on the reference portfolio backing the policy. Consequently, our...

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...