Pricing life insurance contracts with early exercise features
From MaRDI portal
Publication:732096
DOI10.1016/j.cam.2008.05.036zbMath1179.91098MaRDI QIDQ732096
Anna Rita Bacinello, Enrico Biffis, Pietro Millossovich
Publication date: 9 October 2009
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2008.05.036
American contingent claims; insurance contracts; least squares Monte Carlo method; surrender options
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
91G20: Derivative securities (option pricing, hedging, etc.)
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