Pricing life insurance contracts with early exercise features

Journal of Computational and Applied Mathematics

Volumn 233, Issue 1, 2009, Pages 27-35

  Bacinello, Anna Rita ^a   Biffis, Enrico ^b   Millossovich, Pietro ^a  

^a UNIVERSITY OF TRIESTE   (Italy)

^b IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

American contingent claims; Insurance contracts; Least squares Monte Carlo method; Surrender options

Indexed keywords

AMERICAN CONTINGENT CLAIMS; AMERICAN OPTIONS; FINANCIAL RISK FACTORS; INSURANCE CONTRACTS; LEAST SQUARES MONTE CARLO; LEAST SQUARES MONTE CARLO METHOD; LIFE INSURANCE; NUMERICAL EXPERIMENTS; RISK FACTORS; STOCHASTIC VOLATILITY; SURRENDER OPTION; SURRENDER OPTIONS;

INSURANCE;

MONTE CARLO METHODS;

EID: 68949167534     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2008.05.036     Document Type: Article

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