Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits (Q5214828)
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scientific article; zbMATH DE number 7163350
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| English | Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits |
scientific article; zbMATH DE number 7163350 |
Statements
SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS (English)
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5 February 2020
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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 with affine drift
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Sturm-Liouville problem
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spectral expansion
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Green's function
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0.8051039576530457
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0.803150475025177
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0.7890108823776245
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0.7782560586929321
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