Regression-based algorithms for life insurance contracts with surrender guarantees
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Publication:2994846
DOI10.1080/14697680902960242zbMATH Open1210.91056OpenAlexW3122098306MaRDI QIDQ2994846FDOQ2994846
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
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
stochastic mortalitysurrender optionAmerican contingent claimsinsurance contractsleast Squares Monte Carlo method
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
- Valuing American options by simulation: a simple least-squares approach
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- The valuation of unit-linked policies with or without surrender options
- Assessing the least squares Monte-Carlo approach to American option valuation
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- The fair value of guaranteed annuity options
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- Intervention options in life insurance
- Endogenous model of surrender conditions in equity-linked life insurance
- On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
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
- Risk management with local least squares Monte Carlo
- Refining the least squares Monte Carlo method by imposing structure
- 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
- A bivariate model for evaluating equity-linked policies with surrender option
- 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
- 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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