Regression-based algorithms for life insurance contracts with surrender guarantees

DOI10.1080/14697680902960242zbMath1210.91056OpenAlexW3122098306MaRDI QIDQ2994846

Anna Rita Bacinello, Enrico Biffis, Pietro Millossovich

Publication date: 29 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902960242

zbMATH Keywords

stochastic mortalitysurrender optionAmerican contingent claimsinsurance contractsleast Squares Monte Carlo method

Mathematics Subject Classification ID

Related Items (21)

Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach ⋮ Closed-form solutions for guaranteed minimum accumulation and death benefits ⋮ Minimum return guarantees, investment caps, and investment flexibility ⋮ Statistical emulators for pricing and hedging longevity risk products ⋮ MAX–MIN OPTIMIZATION PROBLEM FOR VARIABLE ANNUITIES PRICING ⋮ A Comparison Between Different Numerical Schemes for the Valuation of Unit-Linked Contracts Embedding a Surrender Option ⋮ A bivariate model for evaluating equity-linked policies with surrender option ⋮ Fourier based methods for the management of complex life insurance products ⋮ Early default risk and surrender risk: impacts on participating life insurance policies ⋮ Impact of rough stochastic volatility models on long-term life insurance pricing ⋮ Equity-linked pension schemes with guarantees ⋮ Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model ⋮ Pricing life insurance contracts with early exercise features ⋮ Optimal surrender policy for variable annuity guarantees ⋮ Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis ⋮ Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees ⋮ Time-consistent and market-consistent actuarial valuation of the participating pension contract ⋮ Surrender contagion in life insurance ⋮ The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees ⋮ Refining the least squares Monte Carlo method by imposing structure ⋮ The difference between LSMC and replicating portfolio in insurance liability modeling

Cites Work

• Assessing the least squares Monte-Carlo approach to American option valuation
• Affine processes for dynamic mortality and actuarial valuations
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Intervention options in life insurance
• On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
• An analysis of a least squares regression method for American option pricing
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• The valuation of unit-linked policies with or without surrender options
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• Endogenous model of surrender conditions in equity-linked life insurance
• The fair value of guaranteed annuity options
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option

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