A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method

DOI10.1080/10920277.2014.922031zbMath1414.91184OpenAlexW3125610539MaRDI QIDQ5379128

Runhuan Feng

Publication date: 28 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2014.922031

zbMATH Keywords

risk measuresnumerical PDE methodvariable annuity guarantee products

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

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