Regression-based algorithms for life insurance contracts with surrender guarantees

DOI10.1080/14697680902960242MaRDI QIDQ2994846zbMATH OpenOpenAlexFDO

Authors Anna Rita Bacinello, Enrico Biffis, Pietro Millossovich

Publication date 29 April 2011

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680902960242

zbMATH Keywords

stochastic mortalitysurrender optionAmerican contingent claimsinsurance contractsleast Squares Monte Carlo method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Pricing life insurance contracts with early exercise features
• A full Monte Carlo approach to the valuation of the surrender option embedded in life insurance contracts
• A comparison between different numerical schemes for the valuation of unit-linked contracts embedding a surrender option
• Endogenous model of surrender conditions in equity-linked life insurance
• Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option

Cites work

• A regression-based Monte Carlo method to solve backward stochastic differential equations
• Affine processes for dynamic mortality and actuarial valuations
• An analysis of a least squares regression method for American option pricing
• Assessing the least squares Monte-Carlo approach to American option valuation
• Endogenous model of surrender conditions in equity-linked life insurance
• 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
• Intervention options in life insurance
• On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
• Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• The fair value of guaranteed annuity options
• The valuation of unit-linked policies with or without surrender options
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Valuing American options by simulation: a simple least-squares approach

Cited in

(27)

• A comparison between different numerical schemes for the valuation of unit-linked contracts embedding a surrender option
• Modeling surrender risk in life insurance: theoretical and experimental insight
• Surrender contagion in life insurance
• Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model
• Time-consistent and market-consistent actuarial valuation of the participating pension contract
• Refining the least squares Monte Carlo method by imposing structure
• Risk management with local least squares Monte Carlo
• Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis
• Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
• Optimal surrender policy for variable annuity guarantees
• The difference between LSMC and replicating portfolio in insurance liability modeling
• Closed-form solutions for guaranteed minimum accumulation and death benefits
• Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach
• Max-min optimization problem for variable annuities pricing
• Minimum return guarantees, investment caps, and investment flexibility
• Statistical emulators for pricing and hedging longevity risk products
• Equity-linked pension schemes with guarantees
• Pricing life insurance contracts with early exercise features
• A bivariate model for evaluating equity-linked policies with surrender option
• A full Monte Carlo approach to the valuation of the surrender option embedded in life insurance contracts
• Fourier based methods for the management of complex life insurance products
• Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
• The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees
• Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
• Intensity-based framework for surrender modeling in life insurance
• Early default risk and surrender risk: impacts on participating life insurance policies
• Impact of rough stochastic volatility models on long-term life insurance pricing

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