Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching (Q5745192)
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scientific article; zbMATH DE number 6880929
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| English | Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching |
scientific article; zbMATH DE number 6880929 |
Statements
FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING (English)
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5 June 2018
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variable annuity guaranteed benefits
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risk measures
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value at risk
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conditional tail expectation
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conditional moment matching
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additional earnings
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0.8336634039878845
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0.8106438517570496
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0.7971107363700867
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0.7905132174491882
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