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Analytical calculation of risk measures for variable annuity guaranteed benefits · Study

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ArticleAnalytical calculation of risk measures for variable annuity guaranteed benefits

Runhuan Feng2012

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Analytical calculation of risk measures for variable annuity guaranteed benefits

Runhuan Feng · Hans Volkmer

48 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Stochastic processes and financial applications

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References

1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES 2001A Regime-Switching Model of Long-Term Stock Returns 2008A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities 2003Investment guarantees : modeling and risk management for equity-linked life insurance 2011Variable annuities: A unifying valuation approach 2006Hedging guarantees in variable annuities under both equity and interest rate risks 2004Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options 1992The Laplace transform of annuities certain with exponential time distribution

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2017Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets 2014SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS

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2015Valuation of large variable annuity portfolios under nested simulation: A functional data approacharticle · 5 shared references 2009Pricing Annuity Guarantees Under a Regime-Switching Modelarticle · 3 shared references 2014An optimal stochastic control framework for determining the cost of hedging of variable annuitiesarticle · 3 shared references 2009Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawalsarticle · 3 shared references 2015Pricing annuity guarantees under a double regime-switching modelarticle · 3 shared references 2011Valuing variable annuity guarantees with the multivariate Esscher transformarticle · 3 shared references

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Year2012

Typearticle

Published2012-09-28

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations48

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2012.09.007

openalex_workW2019873143

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