A Comparative study of risk measures for guaranteed minimum maturity benefits by a PDE method

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20150003942</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20150122171255.0</controlfield>
    <controlfield tag="008">150121e20141201esp|||p      |0|||b|spa d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">6</subfield>
    </datafield>
    <datafield tag="100" ind1="1" ind2=" ">
      <subfield code="0">MAPA20100048764</subfield>
      <subfield code="a">Feng, Runhuan</subfield>
    </datafield>
    <datafield tag="245" ind1="1" ind2="2">
      <subfield code="a">A Comparative study of risk measures for guaranteed minimum maturity benefits by a PDE method</subfield>
      <subfield code="c">Runhuan Feng</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">The stochastic modeling and determination of reserves and risk capitals for variable annuity guarantee products are relatively new developments in the insurance industry. The current market practice is largely based on Monte Carlo simulations, which have great engineering flexibility, but the demand for heavy computational power can be prohibitive in many cases. In this article we distinguish and compare two types of risk models to determine the commonly used risk measures for reserving and capital calculations. Using an example of the guaranteed minimum maturity benefit, we investigate alternative numerical methods that require less computational resources and yet achieve high accuracy and efficiency.</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077000239</subfield>
      <subfield code="t">North American actuarial journal</subfield>
      <subfield code="d">Schaumburg : Society of Actuaries, 1997-</subfield>
      <subfield code="x">1092-0277</subfield>
      <subfield code="g">01/12/2014 Tomo 18 Número 4 - 2014 </subfield>
    </datafield>
    <datafield tag="856" ind1=" " ind2=" ">
      <subfield code="y">MÁS INFORMACIÓN</subfield>
      <subfield code="u">mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A</subfield>
    </datafield>
  </record>
</collection>