Move-based hedging of variable annuities: a semi-analytic approach
DOI10.1016/J.INSMATHECO.2016.07.007zbMATH Open1371.91179OpenAlexW2507859025MaRDI QIDQ2374095FDOQ2374095
Authors: X. Sheldon Lin, Pan-Pan Wu, Xiao Wang 
Publication date: 14 December 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.07.007
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Laplace transformembedded guaranteesvariable annuitiesmaturity randomizationmove-based hedgingsemi analytic algorithm
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- The pricing of options and corporate liabilities
- Reserving for maturity guarantees: Two approaches
- Crossing probabilities for diffusion processes with piecewise continuous boundaries
- An Improved Method for Numerical Inversion of Laplace Transforms
- Randomization and the American put
- Double barrier hitting time distributions with applications to exotic options
- EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
- OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS
- Measuring the error of dynamic hedging: a Laplace transform approach
- THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS
- An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
Cited In (6)
- Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
- Semi-static hedging of variable annuities
- Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach
- LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK
- Taxation of a GMWB variable annuity in a stochastic interest rate model
- Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach
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