RT Journal Article SR Electronic T1 A Bivariate Lattice Model to Compute Risk Measures in Life Insurance Policies JF The Journal of Derivatives FD Institutional Investor Journals SP 123 OP 139 DO 10.3905/jod.2020.1.117 VO 28 IS 3 A1 Massimo Costabile YR 2021 UL https://pm-research.com/content/28/3/123.abstract AB This article considers 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 the author 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 contracts.▪ 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.