Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior (Q730548)
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scientific article; zbMATH DE number 6668803
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| English | Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior |
scientific article; zbMATH DE number 6668803 |
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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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0.8915322
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0.87116647
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0.8664962
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0.8652997
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0.86077005
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0.8597475
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0.8586371
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0.85794604
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0.8578727
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