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  • Stochastic Pricing for Embedded Options in Life Insurance and Annuity Products
    VACARVM, and principle-based reserves, our primary focus will be on a “fair value” assessment of ... benefits paid less the stipulated premiums, after the primary account value goes to zero, are averaged over ...

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    • 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
  • Valuing American Options in a Path Simulation Model
    Valuing American Options in a Path Simulation Model This paper presents an algorithm for valuing ... equations numerically generally requires great care as well as sophistication in applied mathematical ...

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    • Authors: James A Tilley
    • Date: Jan 1999
    • Competency: Technical Skills & Analytical Problem Solving
    • Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models