Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching
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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
(7)- Moment matching machine learning methods for risk management of large variable annuity portfolios
- Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
- A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks
- Risk-based capital for variable annuity under stochastic interest rate
- Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
- Conditional moment matching and stratified approximation for pricing and hedging periodic-premium variable annuities
- Numerical methods for computing risk measures of variable annuities under exponential Lévy models
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