In this paper we describe and compare different numerical schemes for the valuation of unit-linked contracts with and without surrender option. We implement two different algorithms based on the Least Squares Monte Carlo method (LSMC), an algorithm based on the Partial Differential Equation...

Life annuities and pension products usually involve a number of guarantees, such as minimum accumulation rates, minimum annual payments or a minimum total payout. Packaging different types of guarantees is the feature of so-called variable annuities. Basically, these products are unit-linked...

We use mean-variance hedging in discrete time, in order to value a terminal insurance liability. The prediction of the liability is decomposed into claims development results, that is, yearly deteriorations in its conditional expected value. We assume the existence of a tradeable derivative with...