Economic Representative Scenarios for Variable Annuity Dynamic Hedging of GMMB and GMDB
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Publication:6549255
DOI10.1080/10920277.2022.2159839zbMATH Open1537.91249MaRDI QIDQ6549255FDOQ6549255
Authors: Yvonne C. M. Chueh, Donald Davendra 
Publication date: 3 June 2024
Published in: North American Actuarial Journal (Search for Journal in Brave)
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Cites Work
- Finding Groups in Data
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- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Nested simulation in portfolio risk measurement
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- On the calculation of the solvency capital requirement based on nested simulations
- A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
- Scenario reduction for stochastic programs with conditional value-at-risk
- Risk estimation via regression
- Efficient Stochastic Modeling for Large and Consolidated Insurance Business: Interest Rate Sampling Algorithms
- LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK
- Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach
- Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets
- Efficient nested simulation for conditional tail expectation of variable annuities
- Modeling partial Greeks of variable annuities with dependence
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