Logo del repository
  1. Home
 
Opzioni

Regression-based algorithms for life insurance contracts with surrender guarantees

BACINELLO, ANNA RITA
•
Biffis E.
•
MILLOSSOVICH, PIETRO
2010
  • journal article

Periodico
QUANTITATIVE FINANCE
Abstract
We present a general framework for pricing life insurance contracts embedding a surrender option. The model allows for several sources of risk, such as uncertainty in mortality, interest rates and other financial factors. We describe and compare two numerical schemes based on the Least Squares Monte Carlo method, emphasizing underlying modeling assumptions and computational issues.
DOI
10.1080/14697680902960242
WOS
WOS:000283316600012
Archivio
http://hdl.handle.net/11368/2304102
info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-77958518678
Diritti
metadata only access
Soggetti
  • Insurance contract

  • Surrender option

  • Stochastic mortality

  • American contingent c...

  • Least Squares Monte C...

Web of Science© citazioni
31
Data di acquisizione
Mar 1, 2024
Visualizzazioni
3
Data di acquisizione
Apr 19, 2024
Vedi dettagli
google-scholar
Get Involved!
  • Source Code
  • Documentation
  • Slack Channel
Make it your own

DSpace-CRIS can be extensively configured to meet your needs. Decide which information need to be collected and available with fine-grained security. Start updating the theme to match your nstitution's web identity.

Need professional help?

The original creators of DSpace-CRIS at 4Science can take your project to the next level, get in touch!

Realizzato con Software DSpace-CRIS - Estensione mantenuta e ottimizzata da 4Science

  • Impostazioni dei cookie
  • Informativa sulla privacy
  • Accordo con l'utente finale
  • Invia il tuo Feedback