Risk-based capital for variable annuity under stochastic interest rate (Q5140086)
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scientific article; zbMATH DE number 7285048
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| 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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0.7535000443458557
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0.7387090921401978
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0.7348960638046265
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0.7337073087692261
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0.7333585619926453
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