Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits

DOI10.1017/ASB.2014.14MaRDI QIDQ5214828zbMATH OpenOpenAlexFDO

Authors Runhuan Feng, Hans W. Volkmer

Publication date 5 February 2020

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/ee126164fa9c9ad8fcbca8f5346be6680d2ddf15, https://www.cambridge.org/core/services/aop-cambridge-core/content/view/48912C777A8719E1189BD455554BDD74/S0515036114000142a.pdf/spectral_methods_for_the_calculation_of_risk_measures_for_variable_annuity_guaranteed_benefits.pdf

zbMATH Keywords

Asian optionconditional tail expectationgeometric Brownian motion with affine driftGreen's functionrisk measuresspectral expansionSturm-Liouville problemvalue at riskvariable annuity guaranteed benefit

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cites work

• A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
• A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
• Analytical calculation of risk measures for variable annuity guaranteed benefits
• Applications of eigenfunction expansions in continuous-time finance
• Financial valuation of guaranteed minimum withdrawal benefits
• Guaranteed minimum withdrawal benefit in variable annuities
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
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• Introductory lectures on fluctuations of Lévy processes with applications.
• Mathematical methods for financial markets.
• On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options
• On some exponential functionals of Brownian motion
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• Spectral decomposition of option prices in fast mean-reverting stochastic volatility models
• Spectral Expansions for Asian (Average Price) Options
• Stochastic differential equations. An introduction with applications.
• THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE

Cited in

(18)

• 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
• Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
• A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy
• A high-order embedded domain method combining a predictor-corrector-Fourier-continuation-Gram method with an integral Fourier pseudospectral collocation method for solving linear partial differential equations in complex domains
• Analytical calculation of risk measures for variable annuity guaranteed benefits
• An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
• 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
• Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
• Risk-based capital for variable annuity under stochastic interest rate
• A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
• Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching
• Variable annuity pricing, valuation, and risk management: a survey
• 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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