SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS

@article{Feng2014SPECTRALMF,
  title={SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS},
  author={Runhuan Feng and Hans Volkmer},
  journal={ASTIN Bulletin},
  year={2014},
  volume={44},
  pages={653 - 681}
}
Abstract Spectral expansion techniques have been extensively exploited for the pricing of exotic options. In this paper, we present novel applications of spectral methods for the quantitative risk management of variable annuity guaranteed benefits such as guaranteed minimum maturity benefits and guaranteed minimum death benefits. The objective is to find efficient and accurate solution methods for the computation of risk measures, which is the key to determining risk-based capital according to… 
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