Efficient willow tree method for variable annuities valuation and risk management
Bing Dong, Wei Xu, Aleksandar Sevic, Zeljko Sevic
| Year of publication: |
2020
|
|---|---|
| Authors: | Dong, Bing ; Xu, Wei ; Šević, Aleksandar ; Šević, Željko |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 68.2020, p. 1-16
|
| Subject: | Variable annuity | Willow tree method | VaR and CTE | Guaranteed minimum benefits | Delta hedging | Monte Carlo method | Hedging | Monte-Carlo-Simulation | Monte Carlo simulation | Risikomanagement | Risk management | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2019.101429 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012301004