TY - JOUR T1 - A Bivariate Lattice Model to Compute Risk Measures in Life Insurance Policies JF - The Journal of Derivatives DO - 10.3905/jod.2020.1.117 SP - jod.2020.1.117 AU - Massimo Costabile Y1 - 2020/11/11 UR - https://pm-research.com/content/early/2020/11/10/jod.2020.1.117.abstract N2 - We consider the problem of computing risk measures in a life insurance context by means of a lattice-based approach. The main advantage of the proposed model relies on the fact that the dynamics of the risk factors may be approximated by a unique lattice along the whole time horizon, thus guaranteeing the same computational cost of a standard pricing problem. This allows us to develop an efficient model that computes accurate estimates of the considered risk measures.TOPICS: Risk management, derivatives, options, equity portfolio managementKey Findings▪ This article shows how lattice-based models can be used to evaluate risk measures of life insurance contract.▪ A bivariate lattice is constructed to approximate the loss function of an equity-linked policy with or without mortality risk.▪ Numerical results show that the model computes accurate Value at Risk and Conditional Value at Risk values in all the considered cases. ER -