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

DOI10.1017/ASB.2017.33MaRDI QIDQ5745192zbMATHOpenAlexFDO

Authors 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

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)

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Cites work

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

Cited in

(6)

• Moment matching machine learning methods for risk management of large variable annuity portfolios
• Risk-based capital for variable annuity under stochastic interest rate
• Conditional moment matching and stratified approximation for pricing and hedging periodic-premium variable annuities
• A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks
• Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
• Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits

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