IDEAS home Printed from https://ideas.repec.org/p/ete/afiper/485229.html

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

Author

Listed:
  • Runhuan Feng
  • Xiaochen Jing
  • Jan Dhaene

Abstract

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 much time that they cannot obtain information and take actions in a timely manner. In an attempt to find low-cost and efficient alternatives, we explore the techniques of comonotonic bounds to 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 policyholder behavior.

Suggested Citation

  • Runhuan Feng & Xiaochen Jing & Jan Dhaene, 2015. "Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven 485229, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven.
    • Handle: RePEc:ete:afiper:485229
    as

    Download full text from publisher

    File URL: https://lirias.kuleuven.be/retrieve/71640cf1-9ff2-4057-8bd0-c7448bc3169b
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jin Sun & Pavel V. Shevchenko & Man Chung Fung, 2018. "The Impact of Management Fees on the Pricing of Variable Annuity Guarantees," Risks, MDPI, vol. 6(3), pages 1-20, September.
    2. Raj Kumari Bahl & Sotirios Sabanis, 2017. "General Price Bounds for Guaranteed Annuity Options," Papers 1707.00807, arXiv.org.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • G19 - Financial Economics - - General Financial Markets - - - Other
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ete:afiper:485229. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: library EBIB (email available below). General contact details of provider: https://feb.kuleuven.be/AFI .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.