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Fast computation of risk measures for variable annuities with additional eamings by conditional moment matching

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
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008  180226e20180101bel|||p |0|||b|eng d
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100  ‎$0‎MAPA20180001987‎$a‎Privault, Nicolas
24510‎$a‎Fast computation of risk measures for variable annuities with additional eamings by conditional moment matching‎$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
7001 ‎$0‎MAPA20130016863‎$a‎Wei, Xiao
7730 ‎$w‎MAP20077000420‎$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