Research On Investment-linked Survival Insurance Pricing Based On Two-factor HJM Model

In the HJM framework system,the forward interest rate is affected by two related random factors,namely the long-term factor and the short-term factor.The Gaussian HJM model has non-random volatility and the state-dependent HJM model volatility has non-random volatility.With the state-dependent HJM model,the instantaneous interest rate,the discount factor,and the price of risk-free zero-coupon bonds,the pricing formula of ILSI and the calculating formula of the equilibrium pure premium are all obtained.Euler-Maruyama approximation method is used to discretize the stochastic differential equations by the iterative method,because it is difficult to find the expression of the forward interest rate with the state-dependent HJM model and the forward interest rate is obtained.The approximate expression and its numerical solutions are given by the Monte Carlo numerical simulation method.