Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching

DOI10.1017/ASB.2017.33zbMATH Open1390.91206OpenAlexW2765433712MaRDI QIDQ5745192FDOQ5745192

Xiao Wei, Nicolas Privault

Publication date: 5 June 2018

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

Full work available at URL: https://semanticscholar.org/paper/af457e9c8db9b7383eabe5fd75c28ca358d37e4c

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zbMATH Keywords

value at riskrisk measuresvariable annuity guaranteed benefitsconditional tail expectationconditional moment matchingadditional earnings

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• Analytical calculation of risk measures for variable annuity guaranteed benefits
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• On some exponential functionals of Brownian motion
• Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
• SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS
• Pricing of arithmetic basket options by conditioning.
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
• Moment matching approximation of Asian basket option prices
• Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
• Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models

Cited In (1)

• Conditional moment matching and stratified approximation for pricing and hedging periodic-premium variable annuities

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