Pricing life insurance contracts with early exercise features

DOI10.1016/J.CAM.2008.05.036zbMath1179.91098OpenAlexW3125529533MaRDI QIDQ732096

Enrico Biffis, Pietro Millossovich, Anna Rita Bacinello

Publication date: 9 October 2009

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2008.05.036

zbMATH Keywords

American contingent claimsinsurance contractsleast squares Monte Carlo methodsurrender options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (20)

An analytical study of participating policies with minimum rate guarantee and surrender option ⋮ Lapse tables for lapse risk management in insurance: a competing risk approach ⋮ Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach ⋮ Minimum return guarantees, investment caps, and investment flexibility ⋮ Optimal search for parameters in Monte Carlo simulation for derivative pricing ⋮ A Comparison Between Different Numerical Schemes for the Valuation of Unit-Linked Contracts Embedding a Surrender Option ⋮ A bivariate model for evaluating equity-linked policies with surrender option ⋮ Intensity-based premium evaluation for unemployment insurance products ⋮ Equity-linked pension schemes with guarantees ⋮ A joint valuation of premium payment and surrender options in participating life insurance contracts ⋮ Indifference pricing under SAHARA utility ⋮ Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model ⋮ A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates ⋮ The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence ⋮ Application of data clustering and machine learning in variable annuity valuation ⋮ Optimal surrender policy for variable annuity guarantees ⋮ Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis ⋮ The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees ⋮ Bayesian analysis of equity-linked savings contracts with American-style options ⋮ The difference between LSMC and replicating portfolio in insurance liability modeling

Cites Work

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