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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