On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View

DOI10.2143/AST.40.1.2049219MaRDI QIDQ3569707zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

life insuranceleast-squares Monte Carlorisk-neutral valuationPDE methodsBermudan optionsnested simulationsembedded options

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(24)

• Market Based Tools for Managing the Life Insurance Company
• Replicating portfolio approach to capital calculation
• Time-risk discount valuation of life contacts
• Multidimensional Lee-Carter model with switching mortality processes
• Implicit embedded options in life insurance contracts. A market consistent valuation framework
• Machine learning techniques in nested stochastic simulations for life insurance
• 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
• A joint valuation of premium payment and surrender options in participating life insurance contracts
• Optimal fee structure of variable annuities
• Early default risk and surrender risk: impacts on participating life insurance policies
• Policyholder exercise behavior in life insurance: the state of affairs
• 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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