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
2021-01-01
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.File in questo prodotto:
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