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Analytical calculation of risk measures for variable annuity guaranteed benefits

Feng, Runhuan; Volkmer, Hans W. - In: Insurance / Mathematics & economics 51 (2012) 3, pp. 636-648

Persistent link: https://www.econbiz.de/10009683199

A comparative study of risk measures for guaranteed minimum maturity benefits by a PDE method

Feng, Runhuan - In: North American actuarial journal 18 (2014) 4, pp. 445-461

Persistent link: https://www.econbiz.de/10011338987

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

A unified analysis of claim costs up to ruin in a Markovian arrival risk model

Cheung, Eric C. K.; Feng, Runhuan - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 98-109

Persistent link: https://www.econbiz.de/10009785415

Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior

Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015

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 for insurance companies to implement and take so...

Persistent link: https://www.econbiz.de/10010464782

Potential measures for spectrally negative Markov additive processes with applications in ruin theory

Feng, Runhuan; Shimizu, Yasutaka - In: Insurance / Mathematics & economics 59 (2014), pp. 11-26

Persistent link: https://www.econbiz.de/10010469191

Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior

Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015

Persistent link: https://www.econbiz.de/10011418916

Applications of central limit theorems for equity-linked insurance

Feng, Runhuan; Shimizu, Yasutaka - In: Insurance / Mathematics & economics 69 (2016), pp. 138-148

Persistent link: https://www.econbiz.de/10011530942

Statutory financial reporting for variable annuity guaranteed death benefits : market practice, mathematical modeling and computation

Feng, Runhuan; Huang, Huaxiong - In: Insurance / Mathematics & economics 67 (2016), pp. 54-64

Persistent link: https://www.econbiz.de/10011457152

Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model

Cui, Zhenyu; Feng, Runhuan; MacKay, Anne - In: North American actuarial journal 21 (2017) 3, pp. 458-483

Persistent link: https://www.econbiz.de/10011858078