Regression-based algorithms for life insurance contracts with surrender guarantees
AbstractWe present a general framework for pricing life insurance contracts embedding a surrender option. The model allows for several sources of risk, such as uncertainty in mortality, interest rates and other financial factors. We describe and compare two numerical schemes based on the Least Squares Monte Carlo method, emphasizing underlying modeling assumptions and computational issues.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Quantitative Finance.
Volume (Year): 10 (2010)
Issue (Month): 9 ()
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Web page: http://taylorandfrancis.metapress.com/link.asp?target=journal&id=111405
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