Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic
Year of publication: |
2020
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Authors: | Fergusson, Kevin |
Published in: |
ASTIN bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge Univ. Press, ISSN 1783-1350, ZDB-ID 2148228-7. - Vol. 50.2020, 2, p. 381-417
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Subject: | Variable annuities | growth optimal portfolio | benchmark approach | long-dated equity index options | minimal market model | stochastic short rate | stochastic mortality rates | Theorie | Theory | Sterblichkeit | Mortality | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Zins | Interest rate | Lebensversicherung | Life insurance | Zinsstruktur | Yield curve | Private Altersvorsorge | Private retirement provision | CAPM |
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