On parallel asset-liability management in life insurance: a forward risk-neutral approach

DOI10.1016/j.parco.2009.10.002zbMath1194.91190OpenAlexW2003689240MaRDI QIDQ991133

P. Zanetti, Pasquale L. De Angelis, Stefania Corsaro, Zelda Marino, Francesca Perla

Publication date: 2 September 2010

Published in: Parallel Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.parco.2009.10.002

zbMATH Keywords

Monte Carlo methodlife insurance policiesasset-liability management portfolioforward risk-neutral measure

Mathematics Subject Classification ID

Uses Software

• SPRNG
• TestU01
• Diehard

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Interest rate models -- theory and practice. With smile, inflation and credit
• Quasi-Monte Carlo methods with applications in finance
• A fast, high quality, and reproducible parallel lagged-Fibonacci pseudorandom number generator
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
• A Theory of the Term Structure of Interest Rates
• TestU01
• On the Periods of Generalized Fibonacci Recurrences
• Changes of numéraire, changes of probability measure and option pricing
• Market Based Tools for Managing the Life Insurance Company

This page was built for publication: On parallel asset-liability management in life insurance: a forward risk-neutral approach