Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk (Q5379240)

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scientific article; zbMATH DE number 7059879
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Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk
scientific article; zbMATH DE number 7059879

    Statements

    title
    Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk (English)
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    author
    Maciej Augustyniak
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    Mathieu Boudreault
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    publication date
    28 May 2019
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    zbMATH Keywords
    variable annuities
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    interest rate risk
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    dynamic delta-rho hedging effectiveness
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    cites work
    Q2842207
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    Q5480304
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    Q4794126
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    Identifiers

    zbMATH DE Number
    7059879
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    OpenAlex ID
    W3124633818
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