Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior

DOI10.1016/j.cam.2016.07.015zbMath1354.91066OpenAlexW2124791491MaRDI QIDQ730548

Jan Dhaene, Xiaochen Jing, Runhuan Feng

Publication date: 28 December 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.07.015

zbMATH Keywords

risk measuresgeometric Brownian motioncomonotonicityvalue at riskconditional tail expectationvariable annuity guaranteed benefit

Mathematics Subject Classification ID

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