Zobrazeno 1 - 8
of 8
pro vyhledávání: '"Zoccolan, Ivan"'
Publikováno v:
In Insurance Mathematics and Economics January 2024 114:1-14
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
Autor:
Bacinello, Anna Rita, Zoccolan, Ivan
In this paper we consider a variable annuity which provides guarantees at death and maturity financed through the application of a state-dependent fee structure, as defined first in Bae and Ko (2013) and extensively analysed in Bernard et al. (2014)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::b259d6def6a63094477e371a30b114a5
http://hdl.handle.net/11368/2910486
http://hdl.handle.net/11368/2910486
Autor:
Bacinello, Anna Rita1 (AUTHOR) bacinel@units.it, Zoccolan, Ivan2 (AUTHOR)
Publikováno v:
Decisions in Economics & Finance. Jun2019, Vol. 42 Issue 1, p21-49. 29p.
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
The cooperation and contamination among mathematicians, statisticians and econometricians working in actuarial sciences and finance are improving the research on these topics and producing numerous meaningful scientific results. This volume presents