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 …

This paper is concerned with an insurance risk model whose claim process is described by a Lévy subordinator process …. Lévy-type risk models have been the object of much research in recent years. Our purpose is to present, in the case of a …