Valuation and risk assessment of a portfolio of variable annuities : a vector autoregression approach

Albina Orlando, Gary Parker

Year of publication:	May 2018
Authors:	Orlando, Albina ; Parker, Gary
Published in:	Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 8.2018, 2, p. 349-371
Subject:	Variable Annuities \| VAR Models \| Static Hedging \| Conditional Value at Risk \| Risikomaß \| Risk measure \| VAR-Modell \| VAR model \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Hedging \| Private Altersvorsorge \| Private retirement provision \| Risiko \| Risk \| Altersvorsorge \| Retirement provision

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