Monte Carlo valuation of future annuity contracts

DOI10.1007/978-3-030-78965-7_10MaRDI QIDQ7231737zbMATH OpenFDO

Authors Anna Rita Bacinello, Pietro Millossovich, Fabio Viviano

Publication date 22 April 2026

Full work available at URL https://doi.org/10.1007/978-3-030-78965-7_10

zbMATH Keywords

life annuitieslongevity riskLSMCstochastic mortality

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

Cites work

• A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks
• Affine processes for dynamic mortality and actuarial valuations
• Annuity uncertainty with stochastic mortality and interest rates
• Approximations for life annuity contracts in a stochastic financial environment
• Comonotonic approximations to quantiles of life annuity conditional expected present value
• If we can simulate it, we can insure it: an application to longevity risk management
• Modeling and forecasting U.S. mortality. (With discussion)
• Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging

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