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Author

Andrea Molent

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2 papers indexed here

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Preprint Sep 2026

Adaptive singular-point method for pricing and hedging surrenderable equity-linked contracts

We propose a deterministic numerical method for pricing and hedging surrenderable equity-linked life-insurance contracts with periodic premiums and fund contributions, maturity and death guarantees, and Bermudan surrender under correlated stochastic volatility and stochastic interest rates. The main computational chall...

Andrea Molent, M. Gaudenzi · 0 citations
Preprint Aug 2026

Market-Informed Valuation of GMMB Riders with Surrender Options under a Heston Stochastic-Local Volatility Model

We develop a market-informed valuation framework for guaranteed minimum maturity benefit (GMMB) riders with rational surrender under the Heston stochastic-local volatility (SLV) model. The guarantee is written on the fee-deducted account value and is considered both in its terminal-only form and in the presence of earl...

Ludovic Goudenège, Andrea Molent, Xiao Wei et al. · 0 citations

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