Valuing the Surrender Options Embedded in a Portfolio of Italian Life Guaranteed Participating Policies : a Least Squares Monte Carlo Approach ∗
Valuing the Surrender Options Embedded in a Portfolio of Italian Life Guaranteed Participating Policies : a Least Squares Monte Carlo Approach ∗
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评估意大利人寿保证分红保单组合中嵌入的退保选项：最小二乘蒙特卡罗方法*
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发表时间：
2003
期刊：
影响因子：
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通讯作者：
Cristina Sommacampagna
中科院分区：
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作者：
Stefano Corradin;G. Castellani;Massimo de Felice;Franco Moriconi;Carlo Mottura;Anna Rita Bacinello;D. Brigo;M. Grasselli;F. Mercurio;Dwight Jaffee;Eduardo Schwartz;Stephen Shaeffer;Cristina Sommacampagna
我们为两种常见类型的有保证参与意大利人寿合同中嵌入的退保选择权定价，并采用Longstaff和Schwartz（2001）的最小二乘蒙特卡罗方法，与Bacinello（2003）通过递归树二项式方法获得的结果进行比较分析。我们提出了一个应用程序的主要意大利人寿保险的投资组合在两个不同的市场估值日期。我们使用Black&Scholes-CIR++经济来模拟参考基金;我们根据De Felice和Moriconi（2001），（2002）和Pacati（2000）扩展框架来定价嵌入的退保期权，估计投资组合负债的公允价值。JEL：C63，G13，G22 IME：IM12，IE50，IB11
We price the surrender option embedded in two common types of guaranteed participating Italian life contracts and we adopt the Least Squares Monte Carlo approach following Longstaff and Schwartz (2001) giving a comparative analysis with the results obtained through a Recursive Tree Binomial approach according to Bacinello (2003). We present an application to a major Italian life policies’ portfolio at two different market valuation dates. We use a Black&Scholes-CIR++ economy to simulate the reference fund; we estimate the fair value of portfolio’s liabilities according to De Felice and Moriconi (2001), (2002) and Pacati (2000) extending the framework to price the embedded surrender options. JEL: C63, G13, G22 IME: IM12, IE50, IB11