On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View
DOI10.2143/AST.40.1.2049219zbMATH Open1230.91066OpenAlexW2055892248MaRDI QIDQ3569707FDOQ3569707
Authors: Daniela Bergmann, Rüdiger Kiesel, Daniel 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
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life insuranceleast-squares Monte Carlorisk-neutral valuationPDE methodsBermudan optionsnested simulationsembedded options
Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cited In (24)
- Market Based Tools for Managing the Life Insurance Company
- Replicating portfolio approach to capital calculation
- Multidimensional Lee-Carter model with switching mortality processes
- Time-risk discount valuation of life contacts
- Machine learning techniques in nested stochastic simulations for life insurance
- Implicit embedded options in life insurance contracts. A market consistent valuation framework
- Analytical approximation of variable annuities for small volatility and small withdrawal
- Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
- On high-performance software development for the numerical simulation of life insurance policies
- Stochastic evaluation of life insurance contracts: model point on asset trajectories and measurement of the error related to aggregation
- A lattice approach to evaluate participating policies in a stochastic interest rate framework
- Mathematical analysis of different approaches for replicating portfolios
- SOME COMPUTATIONAL RESULTS FOR THE FUZZY RANDOM VALUE OF LIFE ACTUARIAL LIABILITIES
- Risk-neutral valuation of participating life insurance contracts
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- A hybrid method to evaluate pure endowment policies: Crédit Agricole and ERGO index linked policies
- Optimal fee structure of variable annuities
- A joint valuation of premium payment and surrender options in participating life insurance contracts
- Policyholder exercise behavior in life insurance: the state of affairs
- Early default risk and surrender risk: impacts on participating life insurance policies
- On the modelling of nested risk-neutral stochastic processes with applications in insurance
- A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension
- A semi-supervised learning approach for variance reduction in life insurance
- Mathematical foundation of the replicating portfolio approach
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