Economic Representative Scenarios for Variable Annuity Dynamic Hedging of GMMB and GMDB
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Publication:6549255
Recommendations
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Cites work
- A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
- Efficient Stochastic Modeling for Large and Consolidated Insurance Business: Interest Rate Sampling Algorithms
- Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets
- Efficient nested simulation for conditional tail expectation of variable annuities
- Efficient risk estimation via nested sequential simulation
- Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach
- Finding Groups in Data
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK
- Modeling partial Greeks of variable annuities with dependence
- Nested simulation in portfolio risk measurement
- On the calculation of the solvency capital requirement based on nested simulations
- Risk estimation via regression
- Scenario reduction for stochastic programs with conditional value-at-risk
- Valuation of large variable annuity portfolios under nested simulation: a functional data approach
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