Valuation of Cliquet-Style Guarantees with Death Benefits in Jump Diffusion Models

This paper aims to value the cliquet-style equity-linked insurance product with death benefits. Whether insured dies before contract maturity or not, a benefit payment beneficiary is due. The premium invested in financial asset, whose dynamics are assumed follow an exponential jump diffusion. In addition, remaining lifetime of modelled by independent random variable distribution can be approximated linear combination distributions. We found that valuation problem reduced calculating certain discounted expectations. Laplace inverse transform and techniques from existing literature were implemented obtain analytical formulae.