Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior (English)
- New search for: Feng, Runhuan
- Further information on Feng, Runhuan:
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https://orcid.org/0000-0002-9957-1019
- New search for: Jing, Xiaochen
- New search for: Dhaene, Jan
- New search for: Feng, Runhuan
- New search for: Jing, Xiaochen
- New search for: Dhaene, Jan
In:
Journal of Computational and Applied Mathematics
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311
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272-292
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2016
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ISSN:
- Article (Journal) / Electronic Resource
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Title:Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
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Contributors:
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Published in:Journal of Computational and Applied Mathematics ; 311 ; 272-292
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Publisher:
- New search for: Elsevier B.V.
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Publication date:2016-03-19
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Size:21 pages
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ISSN:
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DOI:
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Type of media:Article (Journal)
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Type of material:Electronic Resource
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Language:English
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Keywords:
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Source:
Table of contents – Volume 311
The tables of contents are generated automatically and are based on the data records of the individual contributions available in the index of the TIB portal. The display of the Tables of Contents may therefore be incomplete.
- 1
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The exact density of the sum of independent skew normal random variablesNadarajah, Saralees / Li, Rui et al. | 2015
- 11
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Asymptotic expansion of solutions to the Black–Scholes equation arising from American option pricing near the expiryKazemi, Seyed-Mohammad-Mahdi / Dehghan, Mehdi / Foroush Bastani, Ali et al. | 2016
- 38
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Model risk and discretisation of locally risk-minimising strategiesSun, Xianming / Schulz, Thorsten / Khedher, Asma / Vanmaele, Michèle et al. | 2016
- 54
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Manifold-valued subdivision schemes based on geodesic inductive averagingDyn, Nira / Sharon, Nir et al. | 2016
- 68
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Approximation of reachable sets using optimal control and support vector machinesRasmussen, Martin / Rieger, Janosch / Webster, Kevin N. et al. | 2016
- 84
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A modified Casteljau algorithm to solve interpolation problems on Stiefel manifoldsKrakowski, Krzysztof A. / Machado, Luís / Silva Leite, Fátima / Batista, Jorge et al. | 2016
- 100
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Solving steady incompressible Navier–Stokes equations by the Arrow–Hurwicz methodChen, Puyin / Huang, Jianguo / Sheng, Huashan et al. | 2016
- 115
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The proximal alternating iterative hard thresholding method for minimization, with complexityYang, Fan / Shen, Yi / Liu, Zhi Song et al. | 2016
- 130
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A new family of fourth-order locally one-dimensional schemes for the three-dimensional wave equationZhang, Wensheng / Jiang, Jiangjun et al. | 2016
- 148
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Numerical solution of the Burgers equation with Neumann boundary noiseGhayebi, Bakhtiyar / Hosseini, S. Mohammad / Blömker, Dirk et al. | 2016
- 165
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The reciprocal of the geometric mean of many positive numbers is a Stieltjes transformQi, Feng / Guo, Bai-Ni et al. | 2016
- 171
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The Weibull–Conway–Maxwell–Poisson distribution to analyze survival dataGupta, Ramesh C. / Huang, Jie et al. | 2016
- 183
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The Fourier–Bessel method for solving the Cauchy problem connected with the Helmholtz equationLiu, Minghui / Zhang, Deyue / Zhou, Xu / Liu, Feng et al. | 2016
- 194
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A new contractive condition approach to -fixed point results in metric spaces and its applicationsKumrod, Pathaithep / Sintunavarat, Wutiphol et al. | 2016
- 205
-
Operational Tau method for singular system of Volterra integro-differential equationsPishbin, S. et al. | 2015
- 215
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Nonconforming generalized multiscale finite element methodsLee, Chak Shing / Sheen, Dongwoo et al. | 2016
- 230
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Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansionsHuang, Chun-Sung / O’Hara, John G. / Mataramvura, Sure et al. | 2015
- 239
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On the expected penalty functions in a discrete semi-Markov risk model with randomized dividendsYuen, Kam Chuen / Chen, Mi / Wat, Kam Pui et al. | 2016
- 252
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On the construction of trivariate near-best quasi-interpolants based on quartic splines on type-6 tetrahedral partitionsBarrera, D. / Ibáñez, M.J. / Remogna, S. et al. | 2016
- 262
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Reproducing kernel method for the numerical solution of the Brinkman–Forchheimer momentum equationAbbasbandy, S. / Gorder, R.A. Van / Bakhtiari, P. et al. | 2016
- 272
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Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behaviorFeng, Runhuan / Jing, Xiaochen / Dhaene, Jan et al. | 2016
- 293
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Convergence behavior of generalized parameterized Uzawa method for singular saddle-point problemsLiang, Zhao-Zheng / Zhang, Guo-Feng et al. | 2016
- 306
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Sharp numerical inclusion of the best constant for embedding on bounded convex domainTanaka, Kazuaki / Sekine, Kouta / Mizuguchi, Makoto / Oishi, Shin’ichi et al. | 2016
- 314
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Evolutionary computational intelligence in solving a class of nonlinear Volterra–Fredholm integro-differential equationsKashkaria, Bothayna S.H. / Syam, Muhammed I. et al. | 2016
- 324
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Numerical solution of singular boundary value problems with logarithmic singularities by Padé approximation and collocation methodsAllouche, Hassane / Tazdayte, Abderrahim et al. | 2016
- 342
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Interpolation in reproducing kernel Hilbert spaces based on random subdivision schemesCotronei, Mariantonia / Di Salvo, Rosa / Holschneider, Matthias / Puccio, Luigia et al. | 2016
- 354
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A numerical approach for solving Volterra type functional integral equations with variable bounds and mixed delaysGokmen, Elcin / Yuksel, Gamze / Sezer, Mehmet et al. | 2016
- 364
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Computational testing algorithmic procedure of assessment for lifetime performance index of products with Weibull distribution under progressive type I interval censoringWu, Shu-Fei / Lin, Meng-Ju et al. | 2016
- 375
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Reliability nonparametric Bayesian estimation for the masked data of parallel systems in step-stress accelerated life testsLiu, Bin / Shi, Yimin / Zhang, Fode / Bai, Xuchao et al. | 2016
- 387
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A new reproducing kernel method for variable order fractional boundary value problems for functional differential equationsLi, Xiuying / Wu, Boying et al. | 2016
- 394
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Energy method for structure-preserving finite difference schemes and some properties of difference quotientYoshikawa, Shuji et al. | 2016
- 414
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Default prediction with the Merton-type structural model based on the NIG Lévy processJovan, Matej / Ahčan, Aleš et al. | 2016
- 423
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On the approximation power of generalized T-splinesBracco, Cesare / Cho, Durkbin / Dagnino, Catterina / Kim, Tae-wan et al. | 2016
- 439
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Stochastic symplectic methods based on the Padé approximations for linear stochastic Hamiltonian systemsSun, Liying / Wang, Lijin et al. | 2016
- 457
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Iterative Galerkin discretizations for strongly monotone problemsCongreve, Scott / Wihler, Thomas P. et al. | 2016
- 473
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A Newton conditional gradient method for constrained nonlinear systemsGonçalves, Max L.N. / Melo, Jefferson G. et al. | 2016
- 484
-
Iteration Functions re-visitedFarmer, Michael / Loizou, George / Maybank, Stephen et al. | 2016
- 497
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A dispersion minimizing compact finite difference scheme for the 2D Helmholtz equationWu, Tingting et al. | 2016
- 513
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On convergence of iterative projection methods for symmetric eigenvalue problemsAishima, Kensuke et al. | 2015
- 522
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On an optimal finite element scheme for the advection equationDunca, Argus A. et al. | 2016
- 529
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Construction of a full row-rank matrix system for multiple scanning directions in discrete tomographyLi, Xiezhang / Diffenderfer, James / Zhu, Jiehua et al. | 2016
- 539
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Spectral analysis of the generalized shift-splitting preconditioned saddle point problemRen, Zhi-Ru / Cao, Yang / Niu, Qiang et al. | 2016
- 551
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Image inpainting using reproducing kernel Hilbert space and Heaviside functionsWang, Si / Guo, Weihong / Huang, Ting-Zhu / Raskutti, Garvesh et al. | 2016
- 565
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Asymptotically optimal definite quadrature formulae of 4th orderAvdzhieva, Ana / Nikolov, Geno et al. | 2016
- 583
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The hole-filling method and multiscale algorithm for the heat transfer performance of periodic porous materialsYang, Zhiqiang / Sun, Yi / Cui, Junzhi / Yang, Zihao et al. | 2016
- 599
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A BDDC algorithm with adaptive primal constraints for staggered discontinuous Galerkin approximation of elliptic problems with highly oscillating coefficientsKim, Hyea Hyun / Chung, Eric T. / Xu, Chenxiao et al. | 2016
- 618
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Identification of memory kernels in hyperbolic problemsSlodička, M. / Šeliga, L. et al. | 2016
- 630
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Induction hardening of steel with restrained Joule heating and nonlinear law for magnetic induction field: SolvabilityChovan, Jaroslav / Slodička, Marián et al. | 2016
- 645
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Generalized averaged Szegő quadrature rulesJagels, Carl / Reichel, Lothar / Tang, Tunan et al. | 2016
- 655
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Improved Schur complement preconditioners for block-Toeplitz systems with small size blocksNing, Boming / Zhao, Di / Li, Hongyi et al. | 2016
- 664
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On uniqueness of numerical solution of boundary integral equations with 3-times monotone radial kernelsSedaghatjoo, Zeynab / Dehghan, Mehdi / Hosseinzadeh, Hossein et al. | 2016
- 682
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PSPIKE+: A family of parallel hybrid sparse linear system solversZhu, Yao / Sameh, Ahmed H. et al. | 2016
- 704
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Missing data imputation of questionnaires by means of genetic algorithms with different fitness functionsOrdóñez Galán, Celestino / Sánchez Lasheras, Fernando / de Cos Juez, Francisco Javier / Bernardo Sánchez, Antonio et al. | 2016
- 718
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Corrigendum to: “Coincidence and fixed points for multi-valued mappings and its application to nonconvex integral inclusions” [J. Comput. Appl. Math. 283 (2015) 201–217]Berinde, Vasile / Păcurar, Mădălina et al. | 2016