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Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015
The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...
Persistent link: https://www.econbiz.de/10010464782
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Weighted sums of subexponential random variables and asymptotic dependence between Returns on reinsurance equities
Geluk, J. L.; Vries, Casper G. de - 2004
and retrocession practices in the reinsurance industry expose different reinsurers to the same subexponential risks on …
Persistent link: https://www.econbiz.de/10011337998
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Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
Guan, Guohui; Li, Bin - In: Journal of economic dynamics & control 143 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013539527
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The demand for enhanced annuities
Steinorth, Petra - In: Journal of public economics 96 (2012) 11/12, pp. 973-980
Persistent link: https://www.econbiz.de/10009702415
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Accounting for non-annuitization
Pashchenko, Svetlana - In: Journal of public economics 98 (2013), pp. 53-67
Persistent link: https://www.econbiz.de/10009720975
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Cohort mortality risk or adverse selection in annuity markets?
Cannon, Edmund S.; Tonks, Ian - In: Journal of public economics 141 (2016), pp. 68-81
Persistent link: https://www.econbiz.de/10011654528
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Life cycle insurance, bequest motives and annuity loads
Arandjelović, Aleksandar; Kingston, Geoffrey H.; … - In: Journal of economic dynamics & control 157 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014495379
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The annuity puzzle remains a puzzle
Peijnenburg, Kim; Nijman, Theodore E.; Werker, Bas J. M. - In: Journal of economic dynamics & control 70 (2016), pp. 18-35
Persistent link: https://www.econbiz.de/10011708624
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Weighted sums of sub - exponential random variables and asymptotic dependence between returns on reinsurance equities
Geluk, J. L.; Vries, Casper G. de - 2004
Persistent link: https://www.econbiz.de/10002413793
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Cross-hedging minimum return guarantees : basis and liquidity risks
Ankirchner, Stefan; Schneider, Judith Christiane; … - In: Journal of economic dynamics & control 41 (2014), pp. 93-109
Persistent link: https://www.econbiz.de/10010425003