On parallel asset-liability management in life insurance: a forward risk-neutral approach
DOI10.1016/J.PARCO.2009.10.002zbMATH Open1194.91190OpenAlexW2003689240MaRDI QIDQ991133FDOQ991133
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
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Monte Carlo methodlife insurance policiesasset-liability management portfolioforward risk-neutral measure
Numerical methods (including Monte Carlo methods) (91G60) Corporate finance (dividends, real options, etc.) (91G50) Parallel algorithms in computer science (68W10)
Cites Work
- The pricing of options and corporate liabilities
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- Interest rate models -- theory and practice. With smile, inflation and credit
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
- Changes of numéraire, changes of probability measure and option pricing
- TestU01
- Quasi-Monte Carlo methods with applications in finance
- A fast, high quality, and reproducible parallel lagged-Fibonacci pseudorandom number generator
- On high-performance software development for the numerical simulation of life insurance policies
- On the Periods of Generalized Fibonacci Recurrences
- Market Based Tools for Managing the Life Insurance Company
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Cited In (3)
Uses Software
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