Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance

DOI10.1016/j.insmatheco.2008.12.003zbMath1162.91412OpenAlexW1992311243MaRDI QIDQ1023106

Thomas Gerstner, Michael Griebel, Markus Holtz

Publication date: 10 June 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.12.003

zbMATH Keywords

numerical integrationsparse gridsquasi-Monte Carloeffective dimension

Mathematics Subject Classification ID

Related Items (4)

ESTIMATION OF FUTURE DISCRETIONARY BENEFITS IN TRADITIONAL LIFE INSURANCE ⋮ Return distributions of equity-linked retirement plans under jump and interest rate risk ⋮ Unnamed Item ⋮ Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods

Uses Software

• nwSpGr

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Likelihood approximation by numerical integration on sparse grids
• A general asset-liability management model for the efficient simulation of portfolios of life insurance policies
• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
• Numerical integration using sparse grids
• Explicit cost bounds of algorithms for multivariate tensor product problems
• Dimension-adaptive tensor-product quadrature
• Multivariate quadrature on adaptive sparse grids
• Fair valuation of path-dependent participating life insurance contracts.
• The effective dimension and quasi-Monte Carlo integration
• Smoothness and dimension reduction in quasi-Monte Carlo methods
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• A general model for the analysis and valuation of guaranteed minimum benefits in fonds policies
• Multilevel Monte Carlo Path Simulation
• Valuation of Performance‐Dependent Options
• Toward real-time pricing of complex financial derivatives
• QMC techniques for CAT bond pricing *
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• On accounting standards and fair valuation of life insurance and pension liabilities
• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
• Market Based Tools for Managing the Life Insurance Company
• On the distribution of points in a cube and the approximate evaluation of integrals
• Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?
• Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
• Intractability results for integration and discrepancy

This page was built for publication: Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance