On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View
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Publication:3569707
DOI10.2143/AST.40.1.2049219zbMath1230.91066OpenAlexW2055892248MaRDI QIDQ3569707
Rüdiger Kiesel, Daniela Bergmann, Daniel J. Bauer
Publication date: 21 June 2010
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2143/ast.40.1.2049219
embedded optionslife insuranceleast-squares Monte Carlorisk-neutral valuationPDE methodsBermudan optionsnested simulations
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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