Hedging guarantees in variable annuities under both equity and interest rate risks

DOI10.1016/j.insmatheco.2005.06.002zbMath1128.91020OpenAlexW2030651687MaRDI QIDQ2492169

Maria-Cristina Patron, Yuying Li, Thomas F. Coleman

Publication date: 9 June 2006

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.06.002

zbMATH Keywords

risk minimizationlookback optionequity risk

Mathematics Subject Classification ID

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