Analytical calculation of risk measures for variable annuity guaranteed benefits

DOI10.1016/j.insmatheco.2012.09.007zbMath1285.91055OpenAlexW3123549999MaRDI QIDQ2447419

Runhuan Feng, Hans W. Volkmer

Publication date: 25 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.09.007

zbMATH Keywords

modified Bessel functionsAsian optionrisk measuresgeometric Brownian motionvalue at riskconditional tail expectationvariable annuity guaranteed benefitHartman-Watson densityintegral of geometric Brownian motion

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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