Dynamic importance allocated nested simulation for variable annuity risk measurement
Year of publication: |
2022
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Authors: | Dang, Ou ; Feng, Mingbin ; Hardy, Mary Rosalyn |
Published in: |
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries. - Cambridge : Cambridge Univ. Press, ISSN 1748-5002, ZDB-ID 2418917-0. - Vol. 16.2022, 2, p. 319-348
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Subject: | Concomitants | Conditional tail expectation | Nested simulation | Tail value at risk | Variable annuities | Theorie | Theory | Simulation | Risikomaß | Risk measure | Messung | Measurement | Risiko | Risk | Statistische Verteilung | Statistical distribution | Private Altersvorsorge | Private retirement provision | Portfolio-Management | Portfolio selection |
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