Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products

DOI10.1080/10920277.2001.10595994zbMath1083.91511OpenAlexW1964380959MaRDI QIDQ5718216

Phelim P. Boyle, Ken Seng Tan, Adam W. Kolkiewicz

Publication date: 13 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2001.10595994

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

Related Items (11)

Moment matching machine learning methods for risk management of large variable annuity portfolios ⋮ Exact solutions for a strike reset put option and a shout call option ⋮ Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes ⋮ Valuation on an outside-reset option with multiple resettable levels and dates ⋮ Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process ⋮ Pricing Bermudan options using low-discrepancy mesh methods ⋮ Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature ⋮ Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option ⋮ Application of data clustering and machine learning in variable annuity valuation ⋮ INTEGRAL EQUATION FORMULATION FOR SHOUT OPTIONS ⋮ Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach

Uses Software

• TOMS659
• Algorithm 647

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Point sets and sequences with small discrepancy
• On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
• Generation of quasi-random \(\text{(LP}_ \tau)\) vectors for parallel computation
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Monte Carlo methods for security pricing
• Pricing American-style securities using simulation
• Applications of randomized low discrepancy sequences to the valuation of complex securities
• Algorithm 659
• Quasi-Monte Carlo Methods in Numerical Finance
• Path-Dependent Options: Extending the Monte Carlo Simulation Approach
• Toward real-time pricing of complex financial derivatives
• Algorithm 647: Implementation and Relative Efficiency of Quasirandom Sequence Generators
• Polynomial arithmetic analogue of Halton sequences
• Implementation and tests of low-discrepancy sequences
• On the distribution of points in a cube and the approximate evaluation of integrals

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