Zobrazeno 1 - 10
of 117
pro vyhledávání: '"Bacinello, Anna Rita"'
Publikováno v:
In Insurance Mathematics and Economics January 2024 114:1-14
Autor:
Bacinello, Anna Rita
Publikováno v:
The Journal of Risk and Insurance, 2003 Sep 01. 70(3), 461-487.
Externí odkaz:
https://www.jstor.org/stable/3519904
An iterative least-squares Monte Carlo approach for the simulation of cohort based biometric indices
Publikováno v:
European Actuarial Journal; 20240101, Issue: Preprints p1-26, 26p
Publikováno v:
Mathematical and Statistical Methods for Actuarial Sciences and Finance ISBN: 9783030996376
In this paper we propose a discrete time model, based on dynamic programming, to price GLWB variable annuities under the dynamic approach within a stochastic mortality framework. Our set-up is very general and only requires the Markovian property for
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6cfe29550d9273fc47a41a695bda359a
https://hdl.handle.net/11368/3017758
https://hdl.handle.net/11368/3017758
Publikováno v:
In Insurance Mathematics and Economics 2011 49(3):285-297
The aim of this paper is to construct a dynamic programming algorithm for pricing variable annuities with GLWB under a stochastic mortality framework. Although our set-up is very general and only requires the Markovian property for the mortality inte
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1119::4a676442a2a766cd8195e1d1c3832e70
https://hdl.handle.net/10077/33576
https://hdl.handle.net/10077/33576
In this paper we focus on the initiation option featured in many Guaranteed Lifelong Withdrawal Benefit variable annuity contracts, granting their owner the right to decide the age at which lifetime withdrawals should begin. Such contracts have been
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::d73371b200f841631f4c514806bbe75a
http://hdl.handle.net/11368/2991591
http://hdl.handle.net/11368/2991591
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, and then we
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1119::73a0752bca08e16162ed6a1539fbf465
https://hdl.handle.net/10077/32218
https://hdl.handle.net/10077/32218
Autor:
Bacinello, Anna Rita *
Publikováno v:
In Insurance Mathematics and Economics 2005 37(2):270-296
In this paper we study how policyholders and equityholders contribute to the formation of a life insurance company issuing participating contracts. The structure of these contracts is stylized and features a guaranteed rate of return and a terminal b
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1119::3e8c88ae1e1b1cb67cd94c5059574bd5
https://hdl.handle.net/10077/29490
https://hdl.handle.net/10077/29490