Pricing life insurance contracts with early exercise features
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Publication:732096
DOI10.1016/J.CAM.2008.05.036zbMATH Open1179.91098OpenAlexW3125529533MaRDI QIDQ732096FDOQ732096
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
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
Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
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- Title not available (Why is that?)
- Affine processes for dynamic mortality and actuarial valuations
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- 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
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Regression-based algorithms for life insurance contracts with surrender guarantees
- The valuation of unit-linked policies with or without surrender options
- Assessing the least squares Monte-Carlo approach to American option valuation
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- The fair value of guaranteed annuity options
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- Optimal Design of a Perpetual Equity-Indexed Annuity
- Endogenous model of surrender conditions in equity-linked life insurance
- On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
- A full Monte Carlo approach to the valuation of the surrender option embedded in life insurance contracts
Cited In (27)
- A comparison between different numerical schemes for the valuation of unit-linked contracts embedding a surrender option
- Risk management with local least squares Monte Carlo
- Indifference pricing under SAHARA utility
- 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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