We consider the problem of computing risk measures in a life insurance context by means of a lattice-based approach. The main advantage of the proposed model relies upon the fact that the dynamics of the risk factors may be approximated by a unique lattice along the whole time horizon thus guaranteeing the same computational cost of a standard pricing problem. This allows us to develop an efficient model that computes accurate estimates of the considered risk measures.

A bivariate lattice model to compute risk measures in life insurance policies

Massimo Costabile
2021

Abstract

We consider the problem of computing risk measures in a life insurance context by means of a lattice-based approach. The main advantage of the proposed model relies upon the fact that the dynamics of the risk factors may be approximated by a unique lattice along the whole time horizon thus guaranteeing the same computational cost of a standard pricing problem. This allows us to develop an efficient model that computes accurate estimates of the considered risk measures.
Value at risk; Conditional Value at Risk, Lattice-based model; equity-linked; bivariate model
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.11770/304875
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