Efficient Nested Simulation for Conditional Tail Expectation of Variable Annuities
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Publication:5139810
DOI10.1080/10920277.2019.1636399zbMath1454.91176MaRDI QIDQ5139810
Mary R. Hardy, Ou Dang, Mingbin Feng
Publication date: 11 December 2020
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2019.1636399
variable annuities; conditional tail expectation risk measure; importance-allocated nested simulation
91G05: Actuarial mathematics