scholarly journals Risk measures for variable annuities: A hermite series expansion approach

2019 ◽  
Vol 4 (2) ◽  
pp. 119-141 ◽  
Author(s):  
Zhenyu Cui ◽  
Jinhyoung Kim ◽  
Guanghua Lian ◽  
Yanchu Liu
Keyword(s):  
Series Expansion ◽  
Risk Measures ◽  
Variable Annuities ◽  
Hermite Series

Risk Measures for Variable Annuities: A Hermite Series Expansion Approach

2017 ◽  
Author(s):  
Zhenyu Cui ◽  
Jinhyoung Kim ◽  
Guanghua Lian ◽  
Yanchu Liu
Keyword(s):  
Series Expansion ◽  
Risk Measures ◽  
Variable Annuities ◽  
Hermite Series

scholarly journals New Hermite series expansion for computing the matrix hyperbolic cosine

2022 ◽  
pp. 114084
Author(s):  
E. Defez ◽  
J. Ibáñez ◽  
J. Peinado ◽  
P. Alonso-Jordá ◽  
José M. Alonso
Keyword(s):  
Series Expansion ◽  
Hyperbolic Cosine ◽  
The Matrix ◽  
Hermite Series

Contaminant dispersion as viewed from a fixed position

1985 ◽  
Vol 152 ◽  
pp. 217-233 ◽  
Author(s):  
Ronald Smith
Keyword(s):  
Time Evolution ◽  
Series Expansion ◽  
Contaminant Concentration ◽  
Fixed Position ◽  
Contaminant Dispersion ◽  
Temporal Variance ◽  
Hermite Series

A Hermite series expansion is used to describe the time evolution of the contaminant concentration at a fixed location in a flow. Exact expressions are derived for the dosage, centroid and temporal variance. A two-mode approximation is proposed which gives accurate results at moderate to large distances downstream of the discharge.

FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING

2017 ◽  
Vol 48 (1) ◽  
pp. 171-196 ◽  
Author(s):  
Nicolas Privault ◽  
Xiao Wei
Keyword(s):  
Analytical Methods ◽  
Approximation Scheme ◽  
Risk Measures ◽  
Moment Matching ◽  
Fast Computation ◽  
Computationally Efficient ◽  
Conditional Moment ◽  
Variable Annuities ◽  
High Degree

AbstractWe propose an approximation scheme for the computation of the risk measures of guaranteed minimum maturity benefits (GMMBs) and guaranteed minimum death benefits (GMDBs), based on the evaluation of single integrals under conditional moment matching. This procedure is computationally efficient in comparison with standard analytical methods while retaining a high degree of accuracy, and it allows one to deal with the case of additional earnings and the computation of related sensitivities.

Utilizing Downside Risk Measures

2014 ◽  
Vol 31 (3) ◽  
pp. 42-50 ◽  
Author(s):  
Michelle McCarthy
Keyword(s):  
Risk Measures ◽  
Downside Risk
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