Mingbin Feng

University of Waterloo

Assistant Professor

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

2

DOWNLOADS

135

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Efficient Nested Simulation for Conditional Tail Expectation of Variable Annuities

Number of pages: 26 Posted: 02 Oct 2017 Last Revised: 29 Jun 2019
Ou Dang, Mingbin Feng and Mary Hardy
University of Waterloo, University of Waterloo and University of Waterloo
Downloads 124 (270,749)
Citation 1

Abstract:

Loading...

variable annuities, segregated funds, nested simulation, stochastic-on-stochastic, conditional tail expectation (CTE), conditional value at risk (CVaR)

2.

Dynamic Importance Allocated Nested Simulation for Variable Annuity Risk Measurement

Number of pages: 29 Posted: 20 Jan 2021
Ou Dang, Mingbin Feng and Mary R. Hardy
University of Waterloo, University of Waterloo and University of Waterloo
Downloads 11 (677,919)

Abstract:

Loading...

Nested simulation, Expected Shortfall, Variable Annuities, Concomitants, Conditional Tail Expectation.