Semi-static hedging of variable annuities
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Publication:282294
DOI10.1016/J.INSMATHECO.2016.01.004zbMATH Open1348.91128OpenAlexW2261958352MaRDI QIDQ282294FDOQ282294
Authors: Carole Bernard, Minsuk Kwak 
Publication date: 12 May 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.01.004
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- Pricing and hedging variable annuity guarantees with multiasset stochastic investment models
Cites Work
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Financial valuation of guaranteed minimum withdrawal benefits
- Guaranteed minimum withdrawal benefit in variable annuities
- Hedging guarantees in variable annuities under both equity and interest rate risks
- Individual post-retirement longevity risk management under systematic mortality risk
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
- The payoff distribution model: an application to dynamic portfolio insurance
- Pricing annuity guarantees under a regime-switching model
- Semi-static hedging for GMWB in variable annuities
- Measuring the effectiveness of static hedging strategies for a guaranteed minimum income benefit
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Hedging and Reserving for Single-Premium Segregated Fund Contracts
- The effect of modelling parameters on the value of GMWB guarantees
Cited In (22)
- Pricing and hedging guaranteed annuity options via static option replication.
- Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
- Pricing and hedging defaultable participating contracts with regime switching and jump risk
- Move-based hedging of variable annuities: a semi-analytic approach
- Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
- TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS
- Pricing variable annuity with surrender guarantee
- Title not available (Why is that?)
- Pricing and hedging of variable annuities with state-dependent fees
- Semi-static hedging for GMWB in variable annuities
- Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
- Impact of flexible periodic premiums on variable annuity guarantees
- Hedging guarantees in variable annuities under both equity and interest rate risks
- 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
- Semi-analytical prices for lookback and barrier options under the Heston model
- Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
- Economic Representative Scenarios for Variable Annuity Dynamic Hedging of GMMB and GMDB
- Conditional moment matching and stratified approximation for pricing and hedging periodic-premium variable annuities
- Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation
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