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

机译：计算可变年金保证利益的风险度量的谱方法

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摘要

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 regulatory requirements. Our example calculations show that two spectral methods used in this paper are highly efficient and numerically more stable than conventional known methods. Hence these approaches are more suitable for intensive calculations involving death benefits.
机译：频谱扩展技术已广泛用于异类期权的定价。在本文中，我们介绍了频谱方法在可变年金保证收益（例如，保证最低限度的收益收益和保证的最低死亡收益）的定量风险管理中的新颖应用。目的是找到有效，准确的解决方案来计算风险度量，这是根据监管要求确定基于风险的资本的关键。我们的示例计算表明，与常规已知方法相比，本文中使用的两种光谱方法高效且在数值上更稳定。因此，这些方法更适用于涉及死亡赔偿金的密集计算。

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