A lattice approach to evaluate participating policies in a stochastic interest rate framework

DOI10.1016/J.CAM.2020.113212zbMath1460.91217OpenAlexW3090833073MaRDI QIDQ2222157

Emilio Russo, Alessandro Staino, Massimo Costabile, Ivar Massabò

Publication date: 3 February 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2020.113212

zbMATH Keywords

discrete-time modelstochastic interest ratessurrender optionparticipating policiesbinomial algorithm

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial mathematics (91G05)

Related Items (2)

A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees

Cites Work

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• Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method
• On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View
• Topical modelling issues in Solvency II
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• Interest rate model comparisons for participating products under Solvency II
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• An equilibrium characterization of the term structure
• PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES

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