Move-based hedging of variable annuities: a semi-analytic approach (Q2374095)
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scientific article; zbMATH DE number 6663341
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| English | Move-based hedging of variable annuities: a semi-analytic approach |
scientific article; zbMATH DE number 6663341 |
Statements
Move-based hedging of variable annuities: a semi-analytic approach (English)
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14 December 2016
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variable annuities
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embedded guarantees
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move-based hedging
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Laplace transform
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semi analytic algorithm
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maturity randomization
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0.8105282783508301
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0.7711970806121826
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0.7569801211357117
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0.7549278140068054
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