On parallel asset-liability management in life insurance: a forward risk-neutral approach
type: Item
instance of: scholarly article
title: On parallel asset-liability management in life insurance: a forward risk-neutral approach
zbMATH Open document ID: 1194.91190
author: P. Zanetti
author: Stefania Corsaro
author: Pasquale L. De Angelis
author: Zelda Marino
author: Francesca Perla
published in: Parallel Computing
publication date: 2010-09-02T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G50
Mathematics Subject Classification ID: 68W10
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5777738
zbMATH Keywords: asset-liability management portfolio
zbMATH Keywords: life insurance policies
zbMATH Keywords: forward risk-neutral measure
zbMATH Keywords: Monte Carlo method
describes a project that uses: SPRNG
describes a project that uses: Diehard
describes a project that uses: TestU01
MaRDI profile type: Publication
full work available at URL: j.parco.2009.10.002
OpenAlex ID: W2003689240
cites work: The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
cites work: The pricing of options and corporate liabilities
cites work: On the Periods of Generalized Fibonacci Recurrences
cites work: Interest rate models -- theory and practice. With smile, inflation and credit
cites work: Q3515752
cites work: A theory of the term structure of interest rates
cites work: Market Based Tools for Managing the Life Insurance Company
cites work: Changes of numéraire, changes of probability measure and option pricing
cites work: Q4433608
cites work: Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
cites work: Q4004325
cites work: Quasi-Monte Carlo methods with applications in finance
cites work: TestU01
cites work: A fast, high quality, and reproducible parallel lagged-Fibonacci pseudorandom number generator
cites work: Q4705948
DOI: 10.1016/J.PARCO.2009.10.002
description: scientific article; zbMATH DE number 5777738