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Stochastic Pricing for Embedded Options in Life Insurance and Annuity Products
enough? 3. Liability Assumptions – What dynamic lapse, dynamic utilization and other assumptions are ... The lapse assumption used in the example has a dynamic component that reflects the amount the GLWB is ...- Authors: Society of Actuaries, Timothy Hill, Dale Visser, Ricardo Trachtman
- Date: Oct 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Stochastic models
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Valuing American Options in a Path Simulation Model
Valuing American Options in a Path Simulation Model This paper presents an algorithm ... modeling;Derivatives;Discount rates=Interest rates;Dynamic simulation models;Statistical methods; 8273 1/1/1999 ...- Authors: James A Tilley
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models