Risk measurement of a guaranteed annuity option under a stochastic modelling framework

DOI10.1016/j.matcom.2016.07.003OpenAlexW2500962931MaRDI QIDQ2228966

Xiaoming Liu, Huan Gao, Rogemar S. Mamon

Publication date: 19 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2016.07.003

zbMATH Keywords

risk measuresaffine modelsmoment-based methodcorrelated risk factorsinsurance with option-embedded features

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (3)

Putting a price tag on temperature ⋮ An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks ⋮ AN EFFECTIVE BIAS-CORRECTED BAGGING METHOD FOR THE VALUATION OF LARGE VARIABLE ANNUITY PORTFOLIOS

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