Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Ivan Zoccolan"'
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a9d21dd09d2fa99575673d5fad8ca7a7
https://doi.org/10.2139/ssrn.4088495
https://doi.org/10.2139/ssrn.4088495
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
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
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