The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … produce closed-form approximation of the risk measures for variable annuity guaranteed benefits. The techniques are further … developed in this paper to address in a systematic way risk measures for death benefits with the consideration of dynamic …

We investigate the relation between various alternative risk measures and future daily returns using a sample of firms … seem to care more about downside risk than total risk. Motivated by these findings and mixed empirical evidence supporting … theoretical positive risk-return relationship, we model the relation between future returns and risk measures and investigate the …