A full Monte Carlo approach to the valuation of the surrender option embedded in life insurance contracts

Mathematical and Statistical Methods in Insurance and Finance

Volumn , Issue , 2008, Pages 19-26

  Bacinello, Anna Rita ^a  

^a UNIVERSITY OF TRIESTE   (Italy)

Author keywords

Least Squares Monte Carlo approach; Surrender option

Indexed keywords

INSURANCE;

CONTINGENT CLAIMS; LEAST SQUARES MONTE CARLO; LIFE INSURANCE POLICIES; METHODOLOGICAL APPROACH; MONTE CARLO APPROACH; MORTALITY FACTOR; QUASI MONTE CARLO METHODS; SURRENDER OPTION;

MONTE CARLO METHODS;

EID: 84900286491     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1007/978-88-470-0704-8_3     Document Type: Conference Paper

References (10)

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10. [Van03b] Vannucci, E.: An Evaluation of the Riskiness of Unit Linked Policies with Minimal Return Guarantees. In: Proceedings of the 6th Spanish-ItalianMeeting on Financial Mathematics, vol. II, 569-582 (2003).