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. We give a brief description of the valuation procedure and provide some numerical illustrations. Furthermore, to test the efficiency of the proposed methodology, we compare our results with those obtained by applying a straightforward and time-consuming approach based on nested simulations.

Monte Carlo Valuation of Future Annuity Contracts

Bacinello A. R.;Millossovich P.;Viviano F.
2021-01-01

Abstract

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. We give a brief description of the valuation procedure and provide some numerical illustrations. Furthermore, to test the efficiency of the proposed methodology, we compare our results with those obtained by applying a straightforward and time-consuming approach based on nested simulations.
2021
978-3-030-78965-7
File in questo prodotto:
File Dimensione Formato  
Bacinello Monte Carlo Valuation of Future.pdf

Accesso chiuso

Descrizione: capitolo con frontespizio e indice del libro
Tipologia: Documento in Versione Editoriale
Licenza: Copyright Editore
Dimensione 283.49 kB
Formato Adobe PDF
283.49 kB Adobe PDF   Visualizza/Apri   Richiedi una copia
3002256_Bacinello Monte Carlo Valuation of Future-Post_print.pdf

Open Access dal 15/12/2023

Tipologia: Bozza finale post-referaggio (post-print)
Licenza: Digital Rights Management non definito
Dimensione 734.39 kB
Formato Adobe PDF
734.39 kB Adobe PDF Visualizza/Apri
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11368/3002256
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact