On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View
From MaRDI portal
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.)
Related Items
The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours, Mathematical foundation of the replicating portfolio approach, On the modelling of nested risk-neutral stochastic processes with applications in insurance, Policyholder Exercise Behavior in Life Insurance: The State of Affairs, A joint valuation of premium payment and surrender options in participating life insurance contracts, Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior, Mathematical analysis of different approaches for replicating portfolios, Replicating portfolio approach to capital calculation, Early default risk and surrender risk: impacts on participating life insurance policies, A lattice approach to evaluate participating policies in a stochastic interest rate framework, Multidimensional Lee-Carter model with switching mortality processes, A hybrid method to evaluate pure endowment policies: Crédit Agricole and ERGO index linked policies, Optimal fee structure of variable annuities, Analytical Approximation of Variable Annuities for Small Volatility and Small Withdrawal
