A lattice approach to evaluate participating policies in a stochastic interest rate framework

DOI10.1016/J.CAM.2020.113212MaRDI QIDQ2222157zbMATH OpenOpenAlexFDO

Authors Massimo Costabile, Emilio Russo, Alessandro Staino, Ivar Massabò

Publication date 3 February 2021

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.2020.113212

zbMATH Keywords

stochastic interest ratesdiscrete-time modelsurrender optionparticipating policiesbinomial algorithm

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Bayesian analysis of equity-linked savings contracts with American-style options
• Convergence of numerical methods for valuing path-dependent options using interpolation
• Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Interest rate model comparisons for participating products under Solvency II
• Market value of life insurance contracts under stochastic interest rates and default risk
• Martingales and arbitrage in multiperiod securities markets
• On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES
• Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method
• Risk-neutral valuation of participating life insurance contracts
• Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
• Topical modelling issues in Solvency II

Cited in

(5)

• Fair valuations of insurance policies under multiple risk factors: a flexible lattice approach
• Evaluation of participating endowment life insurance policies in a stochastic environment
• A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
• A LATTICE-BASED MODEL FOR EVALUATING BONDS AND INTEREST-SENSITIVE CLAIMS UNDER STOCHASTIC VOLATILITY
• Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees

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