Valuation and risk assessment of a portfolio of variable annuities : a vector autoregression approach
Year of publication: |
May 2018
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Authors: | Orlando, Albina ; Parker, Gary |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 8.2018, 2, p. 349-371
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Subject: | Variable Annuities | VAR Models | Static Hedging | Conditional Value at Risk | Theorie | Theory | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | VAR-Modell | VAR model | Private Altersvorsorge | Private retirement provision | Hedging | Lebensversicherung | Life insurance | Kapitaleinkommen | Capital income |
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