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

DOI10.1016/j.insmatheco.2016.07.007zbMath1371.91179OpenAlexW2507859025MaRDI QIDQ2374095

Pan-Pan Wu, X. Sheldon Lin, 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

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

Related Items (3)

Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach ⋮ Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models ⋮ TAXATION OF A GMWB VARIABLE ANNUITY IN A STOCHASTIC INTEREST RATE MODEL

Cites Work

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

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