The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly … produce closed-form approximation of the risk measures for variable annuity guaranteed benefits. The techniques are further …

market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various …

country selection is incorporated into the strategies, but the risk of thestrategies increases proportionally. Second, we test …. We find no evidence of higher market risk or lower liquidity ofthe strategies. Instead, based on the developments of …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial …

probabilities andspecial fast simulation techniques like importancesampling, multilevel splitting, etc., have to be used. Though …-taileddistributions, previous fast simulation techniques forqueues with subexponential service times have been confined to theM/GI/1 queue. The …

Dominance and further toDecreasing Absolute and Increasing Relative Risk Aversion Stochastic Dominance. The efficient sets …