A joint valuation of premium payment and surrender options in participating life insurance contracts
From MaRDI portal
Publication:654843
DOI10.1016/j.insmatheco.2011.08.004zbMath1228.91048WikidataQ59241750 ScholiaQ59241750MaRDI QIDQ654843
Publication date: 21 December 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://www.alexandria.unisg.ch/146681/1/Binder_AFIR-WP77_online.pdf
Monte Carlo method; embedded options; optimal stopping problem; participating life insurance contracts; paid-up and resumption; surrender
91G20: Derivative securities (option pricing, hedging, etc.)
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