19 citations · 39 across the 14 of their papers we have counts for
4 papers · 1 filter
Adaptive singular-point method for pricing and hedging surrenderable equity-linked contracts
Andrea Molent, Marcellino Gaudenzi
We propose a deterministic numerical method for pricing and hedging surrenderable equity-linked life-insurance contracts with periodic premiums and fund contributions, maturity and…
Neural Calibration of a Complete Market Model
Andrea Molent, Michel Vellekoop
We propose a neural calibration method to construct a recombining binomial tree directly from a set of given option prices. Rather than estimating a continuous option pricing funct…
Market-Informed Valuation of GMMB Riders with Surrender Options under a Heston Stochastic-Local Volatility Model
Ludovic Goudenege, Andrea Molent, Xiao Wei +1
We develop a market-informed valuation framework for guaranteed minimum maturity benefit (GMMB) riders with rational surrender under the Heston stochastic-local volatility (SLV) mo…
Valuation of GLWB-LTC Annuities with Lévy Equity Dynamics, Stochastic Interest Rates and Health-State Transitions
Andrea Molent
This paper develops a valuation framework for guaranteed lifetime withdrawal benefit (GLWB) contracts with long-term care (LTC) features when the reference fund follows exponential…