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Fast computation of risk measures for variable annuities with additional eamings by conditional moment matching
Recurso electrónico / electronic resource
MAP20180005695
Privault, Nicolas ‌
Fast computation of risk measures for variable annuities with additional eamings by conditional moment matching / Nicolas Privault, Xiao Wei
Sumario: We 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
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/01/2018 Volumen 48 Número 1 - enero 2018 , p. 171-196
1. Matemática del seguro ‌. 2. Análisis de riesgos ‌. 3. Modelo estocástico ‌. 4. Teoría del riesgo ‌. 5. Tratamiento del riesgo ‌. I. Wei, Xiao ‌. II. Title.