Regression-based algorithms for life insurance contracts with surrender guarantees

被引：31
|
作者：
Bacinello, Anna Rita [1 ]
Biffis, Enrico [2 ]
Millossovich, Pietro [1 ]
机构：
[1] Univ Trieste, Dept Appl Math, I-34127 Trieste, Italy
[2] Univ London Imperial Coll Sci Technol & Med, Imperial Coll Business Sch, London SW7 2AZ, England
来源：
QUANTITATIVE FINANCE | 2010年 / 10卷 / 09期
关键词：
Insurance contracts; Surrender option; Stochastic mortality; American contingent claims; Least Squares Monte Carlo method; FAIR VALUATION; OPTIONS;
D O I：
10.1080/14697680902960242
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：1077 / 1090
页数：14
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