Pricing life insurance contracts with early exercise features

DOI10.1016/J.CAM.2008.05.036MaRDI QIDQ732096zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

American contingent claimsinsurance contractsleast squares Monte Carlo methodsurrender options

Mathematics Subject Classification ID

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

Recommendations

• Regression-based algorithms for life insurance contracts with surrender guarantees
• A full Monte Carlo approach to the valuation of the surrender option embedded in life insurance contracts
• A joint valuation of premium payment and surrender options in participating life insurance contracts
• Valuation of life insurance surrender and exchange options
• Endogenous model of surrender conditions in equity-linked life insurance

Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• A full Monte Carlo approach to the valuation of the surrender option embedded in life insurance contracts
• Affine processes for dynamic mortality and actuarial valuations
• An analysis of a least squares regression method for American option pricing
• Assessing the least squares Monte-Carlo approach to American option valuation
• Endogenous model of surrender conditions in equity-linked life insurance
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
• Optimal Design of a Perpetual Equity-Indexed Annuity
• Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• Regression-based algorithms for life insurance contracts with surrender guarantees
• The fair value of guaranteed annuity options
• The valuation of unit-linked policies with or without surrender options
• Valuation of the early-exercise price for options using simulations and nonparametric regression

Cited in

(27)

• A comparison between different numerical schemes for the valuation of unit-linked contracts embedding a surrender option
• Indifference pricing under SAHARA utility
• Risk management with local least squares Monte Carlo
• Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis
• Lapse tables for lapse risk management in insurance: a competing risk approach
• A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates
• Implicit options in life insurance contracts
• Application of data clustering and machine learning in variable annuity valuation
• Bayesian analysis of equity-linked savings contracts with American-style options
• Optimal surrender policy for variable annuity guarantees
• The difference between LSMC and replicating portfolio in insurance liability modeling
• Stochastic evaluation of life insurance contracts: model point on asset trajectories and measurement of the error related to aggregation
• Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach
• Minimum return guarantees, investment caps, and investment flexibility
• Optimal search for parameters in Monte Carlo simulation for derivative pricing
• Equity-linked pension schemes with guarantees
• A bivariate model for evaluating equity-linked policies with surrender option
• A full Monte Carlo approach to the valuation of the surrender option embedded in life insurance contracts
• Valuation of contingent guarantees using least-squares Monte Carlo
• The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees
• Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products
• A joint valuation of premium payment and surrender options in participating life insurance contracts
• Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
• An analytical study of participating policies with minimum rate guarantee and surrender option
• Intensity-based premium evaluation for unemployment insurance products
• The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence
• Regression-based algorithms for life insurance contracts with surrender guarantees

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