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Monte Carlo Valuation of Future Annuity Contracts

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Anna Rita Bacinello

    (University of Trieste)

  • Pietro Millossovich

    (University of Trieste
    City, University of London)

  • Fabio Viviano

    (University of Trieste
    University of Udine)

Abstract

In this paper we propose a methodology for valuing future annuity contracts based on the Least-Squares Monte Carlo approach. We adopt, as first step, a simplified computational framework where just one risk factor is taken into account. We give a brief description of the valuation procedure and provide some numerical illustrations. Furthermore, to test the efficiency of the proposed methodology, we compare our results with those obtained by applying a straightforward and time-consuming approach based on nested simulations.

Suggested Citation

  • Anna Rita Bacinello & Pietro Millossovich & Fabio Viviano, 2021. "Monte Carlo Valuation of Future Annuity Contracts," Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 57-62, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-78965-7_10
    DOI: 10.1007/978-3-030-78965-7_10
    as

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