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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 for valuing annuity contracts based on the Least-Squares Monte Carlo (LSMC) approach.
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Description: This abstract describes a paper that proposes a methodology for valuing annuity contracts based on the Least-Squares Monte Carlo (LSMC) approach.
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- Authors: Pietro Millossovich, Anna Bacinello , Fabio Viviano
- Date: Apr 2021
- Competency: External Forces & Industry Knowledge
- Topics: Annuities

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Monte Carlo Valuation of Future Annuity Contracts