RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE (Q5140086): Difference between revisions
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Revision as of 20:48, 28 February 2024
scientific article; zbMATH DE number 7285048
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE |
scientific article; zbMATH DE number 7285048 |
Statements
RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE (English)
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13 December 2020
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variable annuity
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value at risk
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conditional tail expectation
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GMWB
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GMDB
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GMMB
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two-factor willow tree method
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stochastic interest rate
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Hull-White model
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