Analytical calculation of risk measures for variable annuity guaranteed benefits (Q2447419)
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scientific article; zbMATH DE number 6288464
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Analytical calculation of risk measures for variable annuity guaranteed benefits |
scientific article; zbMATH DE number 6288464 |
Statements
Analytical calculation of risk measures for variable annuity guaranteed benefits (English)
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25 April 2014
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variable annuity guaranteed benefit
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Asian option
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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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integral of geometric Brownian motion
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Hartman-Watson density
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modified Bessel functions
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0.91628456
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0.90072155
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0.8810036
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0.8735517
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0.87175846
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0.86960644
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0.86815685
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0.8598759
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0.8597475
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