The paper outlines Monte-Carlo simulation procedures for the pricing of swaptions under the discrete-time arbitrage-free Nelson-Siegel (DTAFNS) model of Eghbalzadeh et al. (2022). In particular, the forward measure dynamics of term structure factors are derived, leading to a semi-analytic...

Participating life insurance contracts are policies that provide dividends (participation bonuses) based on the insurer’s financial performance. While these products are popular, there exists a gap in the literature for the analysis of these contracts under a stochastic setting. This paper...

This paper introduces a flexible risk decomposition method for life insurance contracts embedding several risk factors. Hedging can be naturally embedded in the framework. Although the method is applied to variable annuities in this work, it is also applicable in general to other insurance or...

A closed-form solution for zero-coupon bonds is obtained for a version of the discrete-time arbitrage-free Nelson-Siegel model. An estimation procedure relying on a Kalman filter is provided. The model is shown to produce adequate fit when applied to historical Canadian spot rate data and to...

Purpose By using higher moments, this paper extends the quadratic local risk-minimizing approach in a general discrete incomplete financial market. The local optimization subproblems are convex or nonconvex, depending on the moment variants used in the modeling. Inspired by Lai et al. (2006),...