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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...
Persistent link: https://www.econbiz.de/10008675053
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We study the design of optimal insurance contracts when the insurer can default on its obligations. In our model default arises endogenously from the interaction of the insurance premium, the indemnity schedule and the insurer's assets. This allows us to understand the joint effect of insolvency...
Persistent link: https://www.econbiz.de/10013115963
We analyze the evolution over time of portfolios of life insurance contracts referring to different cohorts or risk classes of insureds. We model the intensity of mortality as a random field, in order to capture cross-generations (risk classes) effects induced by the on-going management of...
Persistent link: https://www.econbiz.de/10012735349
We discuss the fair valuation of Guaranteed Annuity Options, i.e. options providing the right to convert deferred survival benefits into annuities at fixed conversion rates. The use of doubly stochastic stopping times and of affine processes provides great computational and analytical...
Persistent link: https://www.econbiz.de/10012735350
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...
Persistent link: https://www.econbiz.de/10012720957
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...
Persistent link: https://www.econbiz.de/10012721052
Persistent link: https://www.econbiz.de/10014221332
The purpose of this paper is to conduct a market-consistent valuation of life insurance participating liabilities sold to a population of partially heterogeneous customers under the joint impact of biometric and financial risk. In particular, the heterogeneity between groups of policyholders...
Persistent link: https://www.econbiz.de/10013200690
Persistent link: https://www.econbiz.de/10009404725