Exact cash-account deflator for the G2++ model
2020 ◽
Vol 07
(01)
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pp. 2050009
Keyword(s):
In this paper, we shall propose a Monte Carlo simulation technique applied to a G2++ model: even when the number of simulated paths is small, our technique allows to find a precise simulated deflator. In particular, we shall study the transition law of the discrete random variable :[Formula: see text] in the time span [Formula: see text] conditional on the observation at time [Formula: see text], and we apply it in a recursive way to build the different paths of the simulation. We shall apply the proposed technique to the insurance industry, and in particular to the issue of pricing insurance contracts with embedded options and guarantees.
1986 ◽
Vol 33
(7)
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pp. 1005-1011
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1991 ◽
Vol 02
(01)
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pp. 227-231
2004 ◽
Vol 69
(578)
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pp. 39-45
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2018 ◽
Vol 10
(03)
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pp. 1850030
2011 ◽
Vol 111
(1)
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pp. 107-112
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1997 ◽
Vol 04
(05)
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pp. 955-958
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1999 ◽
Vol 31
(01)
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pp. 112-134
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