Regression-based algorithms for life insurance contracts with surrender guarantees

We 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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Year of publication:	2010
Authors:	Bacinello, Anna Rita ; Biffis, Enrico ; Millossovich, Pietro
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 10.2010, 9, p. 1077-1090
Publisher:	Taylor & Francis Journals
Subject:	Insurance contracts \| Surrender option \| Stochastic mortality \| American contingent claims \| Least Squares Monte Carlo method

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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