Measuring the effectiveness of static hedging strategies for a guaranteed minimum income benefit
From MaRDI portal
Recommendations
- Semi-static hedging for GMWB in variable annuities
- Hedging guarantees in variable annuities under both equity and interest rate risks
- Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits
- Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk
- Hedging of guaranteed maturity benefits in unit-linked life insurance
Cites work
- A synthesis of risk measures for capital adequacy
- Arbitrage Theory in Continuous Time
- Coherent measures of risk
- scientific article; zbMATH DE number 1055921 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- Interest rate models -- theory and practice. With smile, inflation and credit
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Numerical Methods in Finance and Economics
- Pricing interest-rate-derivative securities
- The concepts and practice of mathematical finance.
Cited in
(8)- Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
- Semi-static hedging of variable annuities
- Dynamic conic hedging for competitiveness
- Semi-static hedging for GMWB in variable annuities
- Impact of flexible periodic premiums on variable annuity guarantees
- Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk
- Time series model for GLWB with surrender benefit and stochastic interest rate: dynamic withdrawal approach
- Hedging of guaranteed maturity benefits in unit-linked life insurance
This page was built for publication: Measuring the effectiveness of static hedging strategies for a guaranteed minimum income benefit
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5168692)
