Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
type: Item
instance of: scholarly article
title: Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
zbMATH Open document ID: 1354.91066
author: Runhuan Feng
author: Xiaochen Jing
author: J. Dhaene
published in: Journal of Computational and Applied Mathematics
publication date: 2016-12-28T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60E15
Mathematics Subject Classification ID: 65C50
zbMATH DE Number: 6668803
zbMATH Keywords: variable annuity guaranteed benefit
zbMATH Keywords: risk measures
zbMATH Keywords: value at risk
zbMATH Keywords: conditional tail expectation
zbMATH Keywords: geometric Brownian motion
zbMATH Keywords: comonotonicity
MaRDI profile type: Publication
full work available at URL: j.cam.2016.07.015
OpenAlex ID: W2124791491
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DOI: 10.1016/J.CAM.2016.07.015
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description: scientific article; zbMATH DE number 6668803