Analytical calculation of risk measures for variable annuity guaranteed benefits
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Publication:2447419
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Cites work
- A Regime-Switching Model of Long-Term Stock Returns
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Analytic bounds and approximations for annuities and Asian options
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
- From planar Brownian windings to Asian options
- Hedging guarantees in variable annuities under both equity and interest rate risks
- scientific article; zbMATH DE number 3844885 (Why is no real title available?)
- scientific article; zbMATH DE number 1249326 (Why is no real title available?)
- Interest randomness in annuities certain
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Numerical Inversion of Laplace Transforms of Probability Distributions
- On some exponential functionals of Brownian motion
- Quantile hedging for guaranteed minimum death benefits
- The Laplace transform of annuities certain with exponential time distribution
- Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
Cited in
(28)- Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
- Exponential functionals of Lévy processes and variable annuity guaranteed benefits
- Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits
- A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy
- Valuation of annuity guarantees under a self-exciting switching jump model
- Risk measurement of a guaranteed annuity option under a stochastic modelling framework
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
- Discrete sums of geometric Brownian motions, annuities and Asian options
- An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
- Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
- Geometric Brownian motion with affine drift and its time-integral
- Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation
- Applications of central limit theorems for equity-linked insurance
- Valuing variable annuity guarantees on multiple assets
- Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
- Risk-based capital for variable annuity under stochastic interest rate
- Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
- A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
- Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
- Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching
- Variable annuity pricing, valuation, and risk management: a survey
- Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees
- An overview of exact solution methods for guaranteed minimum death benefit options in variable annuities
- Computing and Estimating Distortion Risk Measures: How to Handle Analytically Intractable Cases?
- Numerical methods for computing risk measures of variable annuities under exponential Lévy models
- Risk management of guaranteed minimum benefits under a regime-switching jump-diffusion model
- Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
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