Zobrazeno 1 - 10
of 31
pro vyhledávání: '"Anna Rita Bacinello"'
Autor:
Anna Rita Bacinello
Publikováno v:
Risks, Vol 10, Iss 4, p 72 (2022)
The high volatility in financial markets, together with the ultra-low interest rates environment and the increased expectation of life, constitute serious threats for providers of long-term investment guarantees and lifelong benefits [...]
Externí odkaz:
https://doaj.org/article/23d19685290c47e282f60af07538754a
Publikováno v:
Risks, Vol 9, Iss 1, p 20 (2021)
The purpose of this paper is to conduct a market-consistent valuation of life insurance participating liabilities sold to a population of partially heterogeneous customers under the joint impact of biometric and financial risk. In particular, the het
Externí odkaz:
https://doaj.org/article/4ddad9c44de9494e937bab0990e59e9d
Publikováno v:
SSRN Electronic Journal.
Autor:
Anna Rita Bacinello, Ivan Zoccolan
In this paper we deal with a variable annuity which provides guarantees at death and maturity financed through the application of a state-dependent fee structure of the threshold type. Our first aim is to test the use of least squares Monte Carlo met
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::37a7876ac3c0cf24237079b5e0c15cf7
https://hdl.handle.net/11368/2944570
https://hdl.handle.net/11368/2944570
Publikováno v:
The European Actuary
This paper aims at shedding some light on the interplay between two key risk factors affecting most life insurance products, namely biometric and investment risk. We enhance the pioneering model by Briys and de Varenne, featuring a stylized participa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::d06124dfe2b87704ce89d0c2dd6e1d00
In this paper we assess the joint impact of biometric and financial risk on the market valuation of life insurance liabilities. We consider a stylized, contingent claim based model of a life insurance company issuing participating contracts and subje
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::81c73527747377092a596dac6de4b02f
http://hdl.handle.net/11368/2927131
http://hdl.handle.net/11368/2927131
Autor:
Ivan Zoccolan, Anna Rita Bacinello
Publikováno v:
Mathematical and Statistical Methods for Actuarial Sciences and Finance ISBN: 9783319898230
In this paper we consider a variable annuity with guarantees at death and maturity financed through the application of state-dependent fees. We define a general valuation model for them, and propose to apply the LSMC approach in order to analyse the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f32ed9e0049962e0bffeaaccf0113cf1
https://doi.org/10.1007/978-3-319-89824-7_13
https://doi.org/10.1007/978-3-319-89824-7_13
Publikováno v:
Scandiavian Actuarial Journal
In this paper, we present a dynamic programming algorithm for pricing variable annuities with Guaranteed Minimum Withdrawal Benefits (GMWB) under a general Lévy processes framework. The GMWB gives the policyholder the right to make periodical withdr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::806fd631e122a5ccd012e62b6e8ad841
http://hdl.handle.net/11368/2807139
http://hdl.handle.net/11368/2807139
Autor:
Anna Rita Bacinello
Publikováno v:
Journal of Risk and Insurance. 70:461-487
In this article we deal with the problem of pricing a guaranteed life insurance participating policy, sold in the Italian market, which embeds a surrender option. This feature is an American-style put option that enables the policyholder to sell back
Publikováno v:
The Journal of Risk Finance. 3:6-21
The authors present a model that incorporates stochastic interest rates to value equity‐linked life insurance contracts. The model generalizes some previous pricing results of Arne and Persson [1994] that are based on deterministic interest rates.