Fast computation of risk measures for variable annuities with additional eamings by conditional moment matching
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20180005695 | ||
| 003 | MAP | ||
| 005 | 20180313090224.0 | ||
| 008 | 180226e20180101bel|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20180001987$aPrivault, Nicolas | ||
| 245 | 1 | 0 | $aFast computation of risk measures for variable annuities with additional eamings by conditional moment matching$cNicolas Privault, Xiao Wei |
| 520 | $aWe propose an approximation scheme for the computation of the risk measures of guaranteed minimummaturity benefits (GMMBs) and guaranteed minimum death benefits (GMDBs), based on the evaluation of single integrals under conditional moment matching. This procedure is computationally efficient in comparison with standard analytical methods while retaining a high degree of accuracy, and it allows one to deal with the case of additional earnings and the computation of related sensitivities. | ||
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080588953$aAnálisis de riesgos | |
| 650 | 4 | $0MAPA20080586447$aModelo estocástico | |
| 650 | 4 | $0MAPA20080582951$aTeoría del riesgo | |
| 650 | 4 | $0MAPA20080609153$aTratamiento del riesgo | |
| 700 | 1 | $0MAPA20130016863$aWei, Xiao | |
| 773 | 0 | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g01/01/2018 Volumen 48 Número 1 - enero 2018 , p. 171-196 |