Applications of central limit theorems for equity-linked insurance

DOI10.1016/j.insmatheco.2016.05.004zbMath1369.91082OpenAlexW2405018688MaRDI QIDQ343984

Yasutaka Shimizu, Runhuan Feng

Publication date: 21 November 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.05.004

zbMATH Keywords

strong law of large numberscentral limit theoremrisk measuresvariable annuity guaranteed benefitsaggregate modelindividual modelequity-linked insurance

Mathematics Subject Classification ID

Related Items (10)

A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy ⋮ Risk based capital for guaranteed minimum withdrawal benefit ⋮ Affordable and adequate annuities with stable payouts: fantasy or reality? ⋮ A dynamic equivalence principle for systematic longevity risk management ⋮ Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model ⋮ Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits ⋮ Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior ⋮ Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets ⋮ Pricing bounds and bang-bang analysis of the Polaris variable annuities ⋮ Variable annuity pricing, valuation, and risk management: a survey

Cites Work

• An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
• Double barrier hitting time distributions with applications to exotic options
• Pricing equity-indexed annuities with path-dependent options.
• Weak convergence and empirical processes. With applications to statistics
• Valuing equity-linked death benefits and other contingent options: a discounted density approach
• Dynamic hedging of conditional value-at-risk
• Analytical calculation of risk measures for variable annuity guaranteed benefits
• Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
• Risk measure and fair valuation of an investment guarantee in life insurance
• Mathematical Risk Analysis
• The Effect of Policyholder Transfer Behavior on the Value of Guaranteed Minimum Death Benefits
• Risk Measures and Comonotonicity: A Review
• EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
• Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws
• Asymptotic Statistics
• A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
• Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
• Valuing Equity-Indexed Annuities

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