Move-based hedging of variable annuities: a semi-analytic approach

DOI10.1016/J.INSMATHECO.2016.07.007MaRDI QIDQ2374095zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Laplace transformembedded guaranteesvariable annuitiesmaturity randomizationmove-based hedgingsemi analytic algorithm

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Semi-static hedging of variable annuities
• LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK
• Semi-static hedging for GMWB in variable annuities
• Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets
• Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach

Cites work

• An Improved Method for Numerical Inversion of Laplace Transforms
• An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
• Crossing probabilities for diffusion processes with piecewise continuous boundaries
• Double barrier hitting time distributions with applications to exotic options
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
• Measuring the error of dynamic hedging: a Laplace transform approach
• OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS
• Randomization and the American put
• Reserving for maturity guarantees: Two approaches
• THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS
• The pricing of options and corporate liabilities

Cited in

(6)

• Taxation of a GMWB variable annuity in a stochastic interest rate model
• Semi-static hedging of variable annuities
• Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
• Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach
• LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK
• Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach

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