On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View
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Publication:3569707
DOI10.2143/AST.40.1.2049219zbMath1230.91066MaRDI 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 options; life insurance; least-squares Monte Carlo; risk-neutral valuation; PDE methods; Bermudan options; nested simulations
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
91G20: Derivative securities (option pricing, hedging, etc.)
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