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scientific article; zbMATH DE number 2065145

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Publication:4459812
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zbMATH Open1069.91077MaRDI QIDQ4459812FDOQ4459812

H. Windcliff, K. R. Vetzal, W. J. Morland, P. A. Forsyth

Publication date: 18 May 2004



Title of this publication is not available (Why is that?)


zbMATH Keywords

variable annuitiesinvestor behaviour modellingmutual fund guaranteessegregated funds


Mathematics Subject Classification ID




   Recommendations
  • Hedging and Reserving for Single-Premium Segregated Fund Contracts πŸ‘ πŸ‘Ž
  • Hedging guarantees in variable annuities under both equity and interest rate risks πŸ‘ πŸ‘Ž
  • Simulations of transaction costs and optimal rehedging πŸ‘ πŸ‘Ž
  • Dynamic option hedging via stochastic model predictive control based on scenario simulation πŸ‘ πŸ‘Ž
  • Semi-static hedging of variable annuities πŸ‘ πŸ‘Ž





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