Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
From MaRDI portal
Publication:730548
DOI10.1016/j.cam.2016.07.015zbMath1354.91066OpenAlexW2124791491MaRDI QIDQ730548
Jan Dhaene, Xiaochen Jing, Runhuan Feng
Publication date: 28 December 2016
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2016.07.015
risk measuresgeometric Brownian motioncomonotonicityvalue at riskconditional tail expectationvariable annuity guaranteed benefit
Related Items
Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables, A new method for high-order boundary value problems, Spectral solutions of system of Volterra integro-differential equations and their error analysis, Sample recycling method -- a new approach to efficient nested Monte Carlo simulations, Existence and uniqueness of solutions for fractional integro-differential equations and their numerical solutions, Computing and Estimating Distortion Risk Measures: How to Handle Analytically Intractable Cases?, Impact of Flexible Periodic Premiums on Variable Annuity Guarantees, Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits, A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES, Numerical investigation of the solution of higher-order boundary value problems via Euler matrix method, Variable annuity pricing, valuation, and risk management: a survey
Cites Work
- Unnamed Item
- Unnamed Item
- Applications of central limit theorems for equity-linked insurance
- Optimal surrender policy for variable annuity guarantees
- Static super-replicating strategies for a class of exotic options
- Analytic bounds and approximations for annuities and Asian options
- Optimal approximations for risk measures of sums of lognormals based on conditional expectations
- The concept of comonotonicity in actuarial science and finance: theory.
- The concept of comonotonicity in actuarial science and finance: applications.
- An easy computable upper bound for the price of an arithmetic Asian option
- Analytical valuation of periodical premiums for equity-linked policies with minimum guarantee
- An application of comonotonicity theory in a stochastic life annuity framework
- Analytical calculation of risk measures for variable annuity guaranteed benefits
- Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
- Pricing and hedging of variable annuities with state-dependent fees
- Default probabilities of a holding company, with complete and partial information
- Bounds for the price of discrete arithmetic Asian options
- Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables
- Tables for Computing Bivariate Normal Probabilities
- Static-arbitrage upper bounds for the prices of basket options
- Risk Measures and Comonotonicity: A Review
- On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View
- Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- The value of an Asian option
- An Overview of Comonotonicity and Its Applications in Finance and Insurance
- SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS
- A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
