Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching
Year of publication: |
2018
|
---|---|
Authors: | Privault, Nicolas ; Wei, Xiao |
Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 48.2018, 1, p. 171-196
|
Subject: | Variable annuity guaranteed benefits | risk measures | value at risk | conditional tail expectation | conditional moment matching | additional earnings | Risikomaß | Risk measure | Theorie | Theory | Messung | Measurement | Risiko | Risk | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Momentenmethode | Method of moments |
-
Trimech, Anyssa, (2014)
-
Drawdown measures and return moments
Möller, Philipp M., (2018)
-
Feng, Runhuan, (2015)
- More ...
-
A Malliavin Calculus Approach to Sensitivity Analysis in Insurance
Privault, Nicolas, (2004)
-
A Malliavin calculus approach to sensitivity analysis in insurance
Privault, Nicolas, (2004)
-
Stochastic finance : an introduction with market examples
Privault, Nicolas, (2014)
- More ...