Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
DOI10.1017/ASB.2014.14zbMATH Open1431.91325OpenAlexW2134645209MaRDI QIDQ5214828FDOQ5214828
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
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Green's functionvalue at riskrisk measuresgeometric Brownian motion with affine driftSturm-Liouville problemAsian optionspectral expansionconditional tail expectationvariable annuity guaranteed benefit
Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)
Cites Work
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
- Stochastic differential equations. An introduction with applications.
- Analytical calculation of risk measures for variable annuity guaranteed benefits
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- On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options
- A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
- THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS
- Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
- Spectral decomposition of option prices in fast mean-reverting stochastic volatility models
Cited In (16)
- Risk-based capital for variable annuity under stochastic interest rate
- An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
- A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
- Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
- Variable annuity pricing, valuation, and risk management: a survey
- Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
- Analytical calculation of risk measures for variable annuity guaranteed benefits
- A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy
- Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits
- Computing and Estimating Distortion Risk Measures: How to Handle Analytically Intractable Cases?
- Exponential functionals of Lévy processes and variable annuity guaranteed benefits
- 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
- 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
- Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching
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