Monte Carlo Valuation of Future Annuity Contracts

Anna Rita Bacinello (), Pietro Millossovich () and Fabio Viviano ()
Additional contact information
Anna Rita Bacinello: University of Trieste
Pietro Millossovich: University of Trieste
Fabio Viviano: University of Trieste

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2021, pp 57-62 from Springer

Abstract: Abstract In this paper we propose a methodology for valuing future annuity contracts based on the Least-Squares Monte Carlo approach. We adopt, as first step, a simplified computational framework where just one risk factor is taken into account. We give a brief description of the valuation procedure and provide some numerical illustrations. Furthermore, to test the efficiency of the proposed methodology, we compare our results with those obtained by applying a straightforward and time-consuming approach based on nested simulations.

Keywords: LSMC; Life annuities; Longevity risk; Stochastic mortality (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-78965-7_10

Ordering information: This item can be ordered from
http://www.springer.com/9783030789657

DOI: 10.1007/978-3-030-78965-7_10

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().