RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE (Q5140086): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1017/asb.2020.20 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3037029241 / rank | |||
Normal rank | |||
Revision as of 19:16, 19 March 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)
0 references
13 December 2020
0 references
variable annuity
0 references
value at risk
0 references
conditional tail expectation
0 references
GMWB
0 references
GMDB
0 references
GMMB
0 references
two-factor willow tree method
0 references
stochastic interest rate
0 references
Hull-White model
0 references
