On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View
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Recommendations
- Risk-neutral valuation of participating life insurance contracts
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- Market value of life insurance contracts under stochastic interest rates and default risk
- On valuing participating life insurance contracts with conditional heteroscedasticity
- Valuation and hedging of life insurance liabilities with systematic mortality risk
- Valuation of life insurance products under stochastic interest rates
- Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches
- Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
Cited in
(27)- Replicating portfolio approach to capital calculation
- Early default risk and surrender risk: impacts on participating life insurance policies
- Time-risk discount valuation of life contacts
- A lattice approach to evaluate participating policies in a stochastic interest rate framework
- Multidimensional Lee-Carter model with switching mortality processes
- Stochastic evaluation of life insurance contracts: model point on asset trajectories and measurement of the error related to aggregation
- A hybrid method to evaluate pure endowment policies: Crédit Agricole and ERGO index linked policies
- Optimal fee structure of variable annuities
- Analytical approximation of variable annuities for small volatility and small withdrawal
- On high-performance software development for the numerical simulation of life insurance policies
- Implicit embedded options in life insurance contracts. A market consistent valuation framework
- SOME COMPUTATIONAL RESULTS FOR THE FUZZY RANDOM VALUE OF LIFE ACTUARIAL LIABILITIES
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- Mathematical foundation of the replicating portfolio approach
- On the modelling of nested risk-neutral stochastic processes with applications in insurance
- Policyholder exercise behavior in life insurance: the state of affairs
- Market Based Tools for Managing the Life Insurance Company
- A semi-supervised learning approach for variance reduction in life insurance
- A joint valuation of premium payment and surrender options in participating life insurance contracts
- Machine learning techniques in nested stochastic simulations for life insurance
- Genetic algorithm-based selection of optimal Monte Carlo simulations
- Explainable Least Square Monte Carlo for Solvency Capital Requirement Evaluation
- Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
- Addressing theoretical and empirical discrepancies in life insurance valuations through EMS
- Risk-neutral valuation of participating life insurance contracts
- Mathematical analysis of different approaches for replicating portfolios
- A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension
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