Pricing and hedging guaranteed annuity options via static option replication.

DOI10.1016/S0167-6687(03)00154-9zbMath1103.91352OpenAlexW3125642461MaRDI QIDQ1423359

Antoon Pelsser

Publication date: 14 February 2004

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(03)00154-9

zbMATH Keywords

guaranteed annuity optionshedging methodologystatic option replication

Mathematics Subject Classification ID

Related Items (24)

A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry ⋮ Asset-liability management for long-term insurance business ⋮ VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS ⋮ The role of the dependence between mortality and interest rates when pricing guaranteed annuity options ⋮ Static replication of European standard dispersion options ⋮ Hedging longevity risk in defined contribution pension schemes ⋮ Mathematical analysis of different approaches for replicating portfolios ⋮ Valuation of guaranteed annuity conversion options. ⋮ Valuation of guaranteed annuity options using a stochastic volatility model for equity prices ⋮ Semi-Static Hedging for GMWB in Variable Annuities ⋮ Pricing variable annuity guarantees in a local volatility framework ⋮ Affine stochastic mortality ⋮ The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case ⋮ Valuation of contingent claims with mortality and interest rate risks ⋮ Deep hedging of long-term financial derivatives ⋮ Valuation and hedging of participating life-insurance policies under management discretion ⋮ A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach ⋮ On accounting standards and fair valuation of life insurance and pension liabilities ⋮ Explainable neural network for pricing and universal static hedging of contingent claims ⋮ Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing ⋮ METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS ⋮ The fair value of guaranteed annuity options ⋮ Pricing Participating Inflation Retirement Funds Through Option Modeling and Copulas ⋮ The difference between LSMC and replicating portfolio in insurance liability modeling

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