15-008/IV - Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior

• Authors
  Runhuan Feng, University of Illinois at Urbana-Champaign, United States; Xiaochen Jing, University of Illinois at Urbana-Champaign, United States; Jan Dhaene, Katholieke Universiteit Leuven, Belgium
• Publication date
  January 16, 2015

• Keywords
  Variable annuity guaranteed benefit, risk measures, value at risk, conditional tail expectation, geometric Brownian motion, comonotonicity, dynamic policyholder behavior
• JEL
  G19, C63