A Full Monte Carlo Approach to the Valuation of the Surrender Option Embedded in Life Insurance Contracts

Author:

Bacinello Anna Rita

Publisher

Springer Milan

Reference10 articles.

1. Andreatta, G., Corradin, S.: Valuing the Surrender Option Embedded in a Portfolio of Italian Life Guaranteed Participating Policies: A Least Squares Monte Carlo Approach. Working Paper (2003)

2. Bacinello, A. R.: Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option. The Journal of Risk and Insurance, 70, 461–487 (2003)

3. Bacinello, A. R.: Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option. North American Actuarial Journal, 7, 1–17 (2003)

4. Bacinello, A.R.: Endogenous Model of Surrender Conditions in Equity-Linked Life Insurance. Insurance: Mathematics and Economics, 37, 270–296 (2005)

5. Baione, F., De Angelis, P., Fortunati, A.: On a Fair Value Model for Participating Life Insurance Policies. Investment Management and Financial Innovations, 3, 105–115 (2006)

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