Semi-static hedging of variable annuities

DOI10.1016/j.insmatheco.2016.01.004zbMath1348.91128OpenAlexW2261958352MaRDI QIDQ282294

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

zbMATH Keywords

effective hedgingembedded guaranteesperiodic feessemi-static hedgingvariable annuities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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