RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE
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Publication:5140086
DOI10.1017/asb.2020.20zbMath1454.91207MaRDI QIDQ5140086
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
stochastic interest rate; value at risk; variable annuity; Hull-White model; conditional tail expectation; GMMB; GMWB; GMDB; two-factor willow tree method
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Cites Work
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