A Comparison Between Different Numerical Schemes for the Valuation of Unit-Linked Contracts Embedding a Surrender Option

DOI10.1007/978-3-319-02499-8_3zbMath1418.91594OpenAlexW1766405139MaRDI QIDQ4561898

Alvaro Montealegre, Anna Rita Bacinello, Pietro Millossovich

Publication date: 13 December 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02499-8_3

zbMATH Keywords

binomial treesingle premiumexercise policylife insurance contractEuropean contract

Mathematics Subject Classification ID

Cites Work

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• Endogenous model of surrender conditions in equity-linked life insurance
• American Option Pricing Using Simulation and Regression: Numerical Convergence Results
• Regression-based algorithms for life insurance contracts with surrender guarantees
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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