Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior (Q730548): Difference between revisions

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Latest revision as of 05:59, 13 July 2024

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Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
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    Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior (English)
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    28 December 2016
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    variable annuity guaranteed benefit
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    risk measures
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    value at risk
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    conditional tail expectation
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    geometric Brownian motion
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    comonotonicity
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