Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
By Runhuan Feng and Hans W. Volkmer
| Year of publication: |
2014
|
|---|---|
| Authors: | Feng, Runhuan ; Volkmer, Hans W. |
| Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 44.2014, 3, p. 653-681
|
| Subject: | Variable annuity guaranteed benefit | Asian option | risk measures | value at risk | conditional tail expectation | geometric Brownian motion with affine drift | Sturm-Liouville problem | spectral expansion | Green's function | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | Risiko | Risk | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Messung | Measurement | Lebensversicherung | Life insurance | Zeitreihenanalyse | Time series analysis | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010407941