Abstract
The purpose of this article is to value some life insurance con-tracts in a stochastic interest rate environment taking into account the defaultrisk of the underlying insurance company. The participating life insurance con-tracts considered here can be expressed as portfolios of barrier options as shownby Grosen and Jørgensen [1997]. In order to price these options, the Longstaffand Schwartz [1995] methodology is used with the Collin-Dufresne and Gold-stein [2001] correction.