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Monte Carlo Valuation of Future Annuity Contracts
Monte Carlo Valuation of Future Annuity Contracts This abstract describes a paper that proposes a methodology ... methodology for valuing annuity contracts based on the Least-Squares Monte Carlo (LSMC) approach. 4/1/2021 ...- Authors: Pietro Millossovich, Anna Bacinello , Fabio Viviano
- Date: Apr 2021
- Competency: External Forces & Industry Knowledge
- Topics: Annuities
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Sensitivity Analysis with Chi-square divergences
calculations in introduced. The aim of the sensitivity analysis method is to identify the most influential – ... important – inputs of a model. The approach follows two steps: 1) A change of measure is used as ...- Authors: Pietro Millossovich, Vaishno Makam , Andreas Tsanakas
- Date: Apr 2021
- Competency: External Forces & Industry Knowledge
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Forecasting Mortality in Related Populations Using Lee-Carter Type Models: A Comparison
Forecasting Mortality in Related Populations Using Lee-Carter Type Models: A Comparison ... paper in which the Lee-Carter model is taken as a starting point for the mortality modeling of multiple populations ...- Authors: Ivan Luciano Danesi, Steven Haberman, Pietro Millossovich
- Date: Feb 2014