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Conditional Asian options

Feng, Runhuan; Volkmer, Hans W. - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-24

Persistent link: https://www.econbiz.de/10011403926

Variable annuity pricing, valuation, and risk management : a survey

Feng, Runhuan; Gan, Guojun; Zhang, Ning - In: Scandinavian actuarial journal 2022 (2022) 10, pp. 867-900

Persistent link: https://www.econbiz.de/10013491041

Coping with longevity via hedging : fair dynamic valuation of variable annuities

Chen, Ze; Feng, Runhuan; Li, Hong; Yang, Tianyu - In: Insurance : mathematics and economics 117 (2024), pp. 154-169

Persistent link: https://www.econbiz.de/10015066964

Quantitative modeling of risk management strategies : stochastic reserving and hedging of variable annuity guaranteed benefits

Feng, Runhuan; Yi, Bingji - In: Insurance / Mathematics & economics 85 (2019), pp. 60-73

Persistent link: https://www.econbiz.de/10011990615

Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits

Feng, Runhuan; Jing, Xiaochen - In: Insurance / Mathematics & economics 72 (2017), pp. 36-48

Persistent link: https://www.econbiz.de/10011691495

Coping with Longevity via Hedging : Fair Dynamic Valuation of Variable Annuities

Chen, Ze; Feng, Runhuan; Li, Hong; Yang, Tianyu - 2022

This paper proposes a fair valuation approach to price variable annuity liabilities and embedded guarantee riders in a dynamic multi-period setting. The focus of the paper is on variable annuity with the Guaranteed Lifetime Withdrawal Beneﬁt(GLWB) rider with exposure to both equity and...

Persistent link: https://www.econbiz.de/10014237761