Dynamic importance allocated nested simulation for variable annuity risk measurement
Ou Dang, Mingbin Feng and Mary R. Hardy
| Year of publication: |
2022
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|---|---|
| Authors: | Dang, Ou ; Feng, Mingbin ; Hardy, Mary Rosalyn |
| Published in: |
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries. - Cambridge : Cambridge Univ. Press, ISSN 1748-5002, ZDB-ID 2418917-0. - Vol. 16.2022, 2, p. 319-348
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| Subject: | Concomitants | Conditional tail expectation | Nested simulation | Tail value at risk | Variable annuities | Simulation | Risikomaß | Risk measure | Risiko | Risk | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Private Altersvorsorge | Private retirement provision |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S1748499521000257 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013342141