Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching
DOI10.1017/ASB.2017.33zbMATH Open1390.91206OpenAlexW2765433712MaRDI QIDQ5745192FDOQ5745192
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
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value at riskrisk measuresvariable annuity guaranteed benefitsconditional tail expectationconditional moment matchingadditional earnings
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 (6)
- Risk-based capital for variable annuity under stochastic interest rate
- 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
- Moment matching machine learning methods for risk management of large variable annuity portfolios
- Conditional moment matching and stratified approximation for pricing and hedging periodic-premium variable annuities
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