SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS (Q5214828)
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scientific article; zbMATH DE number 7163350
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS |
scientific article; zbMATH DE number 7163350 |
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SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS (English)
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5 February 2020
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variable annuity guaranteed benefit
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Asian option
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risk measures
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value at risk
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conditional tail expectation
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geometric Brownian motion with affine drift
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Sturm-Liouville problem
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spectral expansion
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Green's function
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