RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE

DOI10.1017/asb.2020.20zbMath1454.91207MaRDI QIDQ5140086

Jindong Wang, Wei Xu

Publication date: 13 December 2020

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2020.20

zbMATH Keywords

stochastic interest rate; value at risk; variable annuity; Hull-White model; conditional tail expectation; GMMB; GMWB; GMDB; two-factor willow tree method

Mathematics Subject Classification ID

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G05: Actuarial mathematics

Related Items

Robust willow tree method under Lévy processes

Uses Software

• AS 99

Cites Work

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