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Guarantees in with-profit and unitized with-profit life insurance contracts: Fair valuation problem in presence of the default option

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Figure

Table 1: Balance sheet for the policy contract.
Figure 1: Isopremium curves over the range of possible values of σ and γ. Thecurves in each panel correspond to the values of θ equal to 0.25, 0.50, 0.75 and 1from bottom to top.
Figure 3: Sensitivity analysis for the fair value of the policy reserve, VP , and
Figure 4: Feasible set for the asset’s volatility and the minimum guarantee. Thecurves in each panel correspond to the values of θ equal to 0.20, 0.50, 0.75 and 1from bottom to top.
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