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[in Journal: International Journal of Financial Engineering] AND [Keyword: Insurance] (1)	28 Mar 2025	Run
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articleNo Access
Exact cash-account deflator for the G2++ model
- Francesco Strati and
- Luca G. Trussoni
International Journal of Financial Engineering01 Mar 2020
Preview Abstract
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 :
$\int_{[t, t + Δ t]} x (τ) + y (τ) d τ$
in the time span $[t, t + Δ t]$ conditional on the observation at time $t$ , 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.

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