Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
Year of publication: |
2015
|
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Authors: | Feng, Runhuan ; Jing, Xiaochen ; Dhaene, Jan |
Publisher: |
Rotterdam [u.a.] : Tinbergen Inst. |
Subject: | variable annuity guaranteed benefit | risk measures | value at risk | conditional tail expectation | geometric Brownian motion | comonotonicity | dynamic policyholder behavior | Theorie | Theory | Risikomaß | Risk measure | Lebensversicherung | Life insurance | Risiko | Risk | Risikomodell | Risk model | Messung | Measurement | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process |
Extent: | Online-Ressource (31 S.) graph. Darst. |
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Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. 2015-008 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/107874 [Handle] |
Classification: | G19 - General Financial Markets. Other ; C63 - Computational Techniques |
Source: | ECONIS - Online Catalogue of the ZBW |
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