Hedging of guaranteed maturity benefits in unit-linked life insurance

DOI10.1007/S11857-010-0105-3MaRDI QIDQ977306zbMATH OpenOpenAlexFDO

Authors Stefan Graf, Melanie Hauser, Hans-Joachim Zwiesler

Publication date 21 June 2010

Published in Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11857-010-0105-3

zbMATH Keywords

delta-hedgingdelta-rho-hedgingsimulationvariable annuities

Mathematics Subject Classification ID

Portfolio theory (91G10) Statistical methods; risk measures (91G70)

Recommendations

• Hedging guarantees in variable annuities under both equity and interest rate risks
• Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk
• Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits
• Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee
• Measuring the effectiveness of static hedging strategies for a guaranteed minimum income benefit

Cites work

• Interest rate models -- theory and practice. With smile, inflation and credit
• Risk-neutral valuation. Pricing and hedging of financial derivatives.

Cited in

(7)

• scientific article; zbMATH DE number 6759427 (Why is no real title available?)
• Measuring the effectiveness of static hedging strategies for a guaranteed minimum income benefit
• Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk
• Pricing and hedging insurance products in hybrid markets
• Risk analysis of annuity conversion options in a stochastic mortality environment
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Hedging life insurance with pure endowments

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