Risk measures for variable annuities: A hermite series expansion approach
In this study, we propose an efficient approach to the calculation of risk measures for an insurer's liability from writing a variable annuity with guaranteed benefits. Our approach is based on a novel application of the Hermite series expansions on the transition density of a diffusion process...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co.
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |