| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4641260 | Journal of Computational and Applied Mathematics | 2009 | 9 Pages |
Abstract
In this paper we describe an algorithm based on the Least Squares Monte Carlo method to price life insurance contracts embedding American options. We focus on equity-linked contracts with surrender options and terminal guarantees on benefits payable upon death, survival and surrender. The framework allows for randomness in mortality as well as stochastic volatility and jumps in financial risk factors. We provide numerical experiments demonstrating the performance of the algorithm in the context of multiple risk factors and exercise dates.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Anna Rita Bacinello, Enrico Biffis, Pietro Millossovich,