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|Title:||A linear algebraic method for pricing temporary life annuities and insurance policies|
|Keywords:||Stochastic interest rate models;Stochastic mortality models;Annuity;Insurance premium|
|Citation:||Insurance: Mathematics and Economics, 47(1): 98–104, Aug 2010|
|Abstract:||We recast the valuation of annuities and life insurance contracts under mortality and interest rates, both of which are stochastic, as a problem of solving a system of linear equations with random perturbations. A sequence of uniform approximations is developed which allows for fast and accurate computation of expected values. Our reformulation of the valuation problem provides a general framework which can be employed to find insurance premiums and annuity values covering a wide class of stochastic models for mortality and interest rate processes. The proposed approach provides a computationally efficient alternative to Monte Carlo based valuation in pricing mortality-linked contingent claims.|
|Appears in Collections:||Dept of Mathematics Research Papers|
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