On parallel asset-liability management in life insurance: a forward risk-neutral approach

DOI10.1016/J.PARCO.2009.10.002MaRDI QIDQ991133zbMATH OpenOpenAlexFDO

Authors P. Zanetti, Stefania Corsaro, Pasquale L. De Angelis, Zelda Marino, Francesca Perla

Publication date 2 September 2010

Published in Parallel Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.parco.2009.10.002

zbMATH Keywords

Monte Carlo methodlife insurance policiesasset-liability management portfolioforward risk-neutral measure

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Corporate finance (dividends, real options, etc.) (91G50) Parallel algorithms in computer science (68W10)

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Cites work

• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 1931022 (Why is no real title available?)
• A fast, high quality, and reproducible parallel lagged-Fibonacci pseudorandom number generator
• A theory of the term structure of interest rates
• Changes of numéraire, changes of probability measure and option pricing
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Interest rate models -- theory and practice. With smile, inflation and credit
• Market Based Tools for Managing the Life Insurance Company
• On high-performance software development for the numerical simulation of life insurance policies
• On the Periods of Generalized Fibonacci Recurrences
• Quasi-Monte Carlo methods with applications in finance
• TestU01
• The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
• The pricing of options and corporate liabilities

Cited in

(3)

• On high-performance software development for the numerical simulation of life insurance policies
• Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance
• An efficient algorithm for the calculation of reserves for non-unit linked life policies

Describes a project that uses

Uses Software

• Diehard
• TestU01
• SPRNG

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