[BOOK][B] Counterparty credit risk, collateral and funding: with pricing cases for all asset classes
The book's content is focused on rigorous and advanced quantitative methods for the pricing
and hedging of counterparty credit and funding risk. The new general theory that is required …
and hedging of counterparty credit and funding risk. The new general theory that is required …
Variable annuities: A unifying valuation approach
Life annuities and pension products usually involve a number of guarantees, such as
minimum accumulation rates, minimum annual payments or a minimum total payout …
minimum accumulation rates, minimum annual payments or a minimum total payout …
[BOOK][B] The calculus of retirement income: financial models for pension annuities and life insurance
MA Milevsky - 2006 - books.google.com
This 2006 book introduces and develops the basic actuarial models and underlying pricing
of life-contingent pension annuities and life insurance from a unique financial perspective …
of life-contingent pension annuities and life insurance from a unique financial perspective …
The difference between LSMC and replicating portfolio in insurance liability modeling
A Pelsser, J Schweizer - European actuarial journal, 2016 - Springer
Solvency II requires insurers to calculate the 1-year value at risk of their balance sheet. This
involves the valuation of the balance sheet in 1 year's time. As for insurance liabilities …
involves the valuation of the balance sheet in 1 year's time. As for insurance liabilities …
Regression-based Monte Carlo methods for stochastic control models: Variable annuities with lifelong guarantees
We present regression-based Monte Carlo simulation algorithm for solving the stochastic
control models associated with pricing and hedging of the guaranteed lifelong withdrawal …
control models associated with pricing and hedging of the guaranteed lifelong withdrawal …
Optimal surrender policy for variable annuity guarantees
This paper proposes a technique to derive the optimal surrender strategy for a variable
annuity (VA) as a function of the underlying fund value. This approach is based on splitting …
annuity (VA) as a function of the underlying fund value. This approach is based on splitting …
Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach
A Floryszczak, O Le Courtois, M Majri - Insurance: Mathematics and …, 2016 - Elsevier
Abstract The calculation of Net Asset Values and Solvency Capital Requirements in a
Solvency 2 context–and the derivation of sensitivity analyses with respect to the main …
Solvency 2 context–and the derivation of sensitivity analyses with respect to the main …
[HTML][HTML] Pricing life insurance contracts with early exercise features
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 …
price life insurance contracts embedding American options. We focus on equity-linked …
The cost of counterparty risk and collateralization in longevity swaps
Derivative longevity risk solutions, such as bespoke and indexed longevity swaps, allow
pension schemes, and annuity providers to swap out longevity risk, but introduce …
pension schemes, and annuity providers to swap out longevity risk, but introduce …
The impact of policyholder behavior on pricing, hedging, and hedge efficiency of withdrawal benefit guarantees in variable annuities
We analyze the impact of policyholder behavior on pricing, hedging and hedge efficiency of
variable annuities with guaranteed lifetime withdrawal benefits. We consider different …
variable annuities with guaranteed lifetime withdrawal benefits. We consider different …