Fourier-Based Methods for the Management of Complex
06 Oct 2021
About the event
This paper proposes a framework for the valuation and the management of complex life insurance contracts; whose design can be described by a portfolio of embedded options; which are activated according to one or more triggering events. These events are in general monitored discretely over the life of the policy; due to the contract terms. Similar designs can also be found in other contexts; such as counterparty credit risk for example
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