scientific article; zbMATH DE number 2065145

MaRDI QIDQ4459812zbMATH OpenFDO

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

Publication date 18 May 2004

zbMATH Keywords

variable annuitiesinvestor behaviour modellingmutual fund guaranteessegregated funds

Mathematics Subject Classification ID

Recommendations

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

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