Pricing life insurance contracts with early exercise features
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Publication:732096
DOI10.1016/j.cam.2008.05.036zbMath1179.91098OpenAlexW3125529533MaRDI QIDQ732096
Enrico Biffis, Pietro Millossovich, Anna Rita Bacinello
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
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Cites Work
- Assessing the least squares Monte-Carlo approach to American option valuation
- Affine processes for dynamic mortality and actuarial valuations
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
- An analysis of a least squares regression method for American option pricing
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- The valuation of unit-linked policies with or without surrender options
- Endogenous model of surrender conditions in equity-linked life insurance
- Regression-based algorithms for life insurance contracts with surrender guarantees
- The fair value of guaranteed annuity options
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Optimal Design of a Perpetual Equity-Indexed Annuity
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