Stochastic evaluation of life insurance contracts: model point on asset trajectories and measurement of the error related to aggregation

DOI10.1016/J.INSMATHECO.2012.09.001MaRDI QIDQ2447417zbMATH OpenOpenAlexFDO

Authors Oberlain Nteukam T., Frédéric Planchet

Publication date 25 April 2014

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2012.09.001

zbMATH Keywords

ALMembedded optionslife insurance contractsMonte Carlo simulationstochastic modelsTMG guaranteeunit-linked contracts

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• The pricing of options and corporate liabilities

Cited in

(4)

• Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points?
• On high-performance software development for the numerical simulation of life insurance policies
• LIFE INSURANCE AND PENSION CONTRACTS I: THE TIME ADDITIVE LIFE CYCLE MODEL
• A semi-supervised learning approach for variance reduction in life insurance

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