Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality

DOI10.1007/s13385-012-0057-1zbMath1260.91235OpenAlexW1985683555MaRDI QIDQ1936470

Huan Yi Li, Anne MacKay, Patrice Gaillardetz

Publication date: 5 February 2013

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-012-0057-1

zbMATH Keywords

risk management strategiesstochastic mortalityarbitrage theoryequity-indexed annuitydynamic hedging errorsmortality index

Mathematics Subject Classification ID

Related Items (1)

LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK

Cites Work

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