Abstract
In this article, we examine to what extent Life Insurance Policyholders can be described as standard Bondholders. Our analysis extends the ideas of B¨uhlmann [2004], and sequences the fundamental advances of Merton [1974], Longstaff and Schwartz [1995], and Briys and de Varenne [1994, 1997b, 2001]. In particular, we develop a setup where life insurance policies are comparable to hybrid bonds but not to standard risky bonds (as done in most papers dealing with the pricing of participating contracts). In this mixed framework, policyholders are only partly protected against default consequences. Continuous and discrete protections are also studied in an early default Black and Cox [1976] type setting. A comparative analysis of the impact of various protection schemes on ruin probabilities and severities of a Life Insurance company concludes this work.