Regression-based algorithms for life insurance contracts with surrender guarantees

Anna Rita Bacinello, Enrico Biffis and Pietro Millossovich

Quantitative Finance, 2010, vol. 10, issue 9, 1077-1090

Abstract: 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 Monte Carlo method, emphasizing underlying modeling assumptions and computational issues.

Keywords: Insurance contracts; Surrender option; Stochastic mortality; American contingent claims; Least Squares Monte Carlo method (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (26)

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DOI: 10.1080/14697680902960242

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