CPD Events

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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