In this paper,11Version of 2012/07/08. we are interested in the optimization of computing time when using Monte-Carlo simulations for the pricing of the embedded options in life insurance contracts. We propose a very simple method which consists in grouping the trajectories of the initial...

We are interested in modeling the mortality of long-term care (LTC) claimants having the same level of severeness (heavy claimant). Practitioners often use empirical methods that rely heavily on expert opinions. We propose approaches not depending on an expert’s advice. We analyze the...