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Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior

Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
descriptionPublicationkeyboard_double_arrow_right Article , Other literature type , Report , Research , Preprint 01 Jan 2015 Belgium English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068, Copyright policy )
Authors: Runhuan Feng; Xiaochen Jing; Jan Dhaene;

doi: 10.2139/ssrn.2577809 , 10.1016/j.cam.2016.07.015

handle: 10419/107874

Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior

Abstract

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Keywords

G19, variable annuity guaranteed benefit, ddc:330, dynamic policyholder behavior, risk measures, Variable annuity guaranteed benefit, comonotonicity, value at risk, Other computational problems in probability, C63, Risk theory, insurance, conditional tail expectation, Variable annuity guaranteed benefit, risk measures, value at risk, conditional tail expectation, geometric Brownian motion, comonotonicity, dynamic policyholder behavior, Inequalities; stochastic orderings, geometric Brownian motion, jel: jel:C63, jel: jel:G19

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
16
Top 10%
Top 10%
Top 10%
Green
hybrid