SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS

DOI10.1017/asb.2014.14zbMath1431.91325OpenAlexW2134645209MaRDI QIDQ5214828

Runhuan Feng, Hans W. Volkmer

Publication date: 5 February 2020

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/ee126164fa9c9ad8fcbca8f5346be6680d2ddf15

zbMATH Keywords

Green's functionspectral expansionSturm-Liouville problemAsian optionrisk measuresgeometric Brownian motion with affine driftvalue at riskconditional tail expectationvariable annuity guaranteed benefit

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

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Uses Software

• DLMF

Cites Work

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