A lattice approach to evaluate participating policies in a stochastic interest rate framework
DOI10.1016/J.CAM.2020.113212zbMATH Open1460.91217OpenAlexW3090833073MaRDI QIDQ2222157FDOQ2222157
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
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Cites Work
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Martingales and arbitrage in multiperiod securities markets
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method
- Market value of life insurance contracts under stochastic interest rates and default risk
- A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
- Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
- Convergence of numerical methods for valuing path-dependent options using interpolation
- Risk-neutral valuation of participating life insurance contracts
- On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View
- Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
- PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES
- Interest rate model comparisons for participating products under Solvency II
- Bayesian analysis of equity-linked savings contracts with American-style options
- 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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