Please use this identifier to cite or link to this item: http://hdl.handle.net/10077/32218
Title: An Efficient Monte Carlo Based Approach for the Simulation of Future Annuity Values
Authors: BACINELLO, ANNA RITA 
MILLOSSOVICH, PIETRO
VIVIANO, FABIO
Keywords: LSMCLife annuitieslongevity riskStochastic mortality
Issue Date: 2021
Publisher: EUT Edizioni Università di Trieste
Source: Anna Rita Bacinello, Pietro Millossovich, Fabio Viviano, "An Efficient Monte Carlo Based Approach for the Simulation of Future Annuity Values", EUT Edizioni Università di Trieste, 2021
Series/Report no.: DEAMS Research Paper Series 2021, 2
Pages: 38
Abstract: 
In this paper we propose a methodology for valuing future annuity contracts based on the Least-Squares Monte Carlo approach. We adopt, as first step, a simplified computational framework where just one risk factor is taken into account, and then we extend it introducing other sources of risk. We give a brief description of the valuation procedure and provide some numerical illustrations. Furthermore, to test the efficiency of the proposed methodology, we compare our results with those obtained by applying a straightforward and time-consuming approach based on nested simulations. Finally, we present some possible applications in the context of de-risking strategies for pension plans and in the valuation of guaranteed annuity options.
Type: Book
URI: http://hdl.handle.net/10077/32218
Appears in Collections:DEAMS Research Paper Series 2021, 2

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