Semi-static hedging of variable annuities
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Recommendations
- Hedging guarantees in variable annuities under both equity and interest rate risks
- Semi-static hedging for GMWB in variable annuities
- LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK
- Move-based hedging of variable annuities: a semi-analytic approach
- Pricing and hedging variable annuity guarantees with multiasset stochastic investment models
Cites work
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Financial valuation of guaranteed minimum withdrawal benefits
- Guaranteed minimum withdrawal benefit in variable annuities
- Hedging and Reserving for Single-Premium Segregated Fund Contracts
- Hedging guarantees in variable annuities under both equity and interest rate risks
- Individual post-retirement longevity risk management under systematic mortality risk
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Measuring the effectiveness of static hedging strategies for a guaranteed minimum income benefit
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Pricing annuity guarantees under a regime-switching model
- Semi-static hedging for GMWB in variable annuities
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
- The effect of modelling parameters on the value of GMWB guarantees
- The payoff distribution model: an application to dynamic portfolio insurance
Cited in
(22)- Taxation of a GMWB variable annuity in a stochastic interest rate model
- Semi-analytical prices for lookback and barrier options under the Heston model
- Economic Representative Scenarios for Variable Annuity Dynamic Hedging of GMMB and GMDB
- Conditional moment matching and stratified approximation for pricing and hedging periodic-premium variable annuities
- Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
- Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
- TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS
- Pricing variable annuity with surrender guarantee
- Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach
- Move-based hedging of variable annuities: a semi-analytic approach
- Semi-static hedging for GMWB in variable annuities
- Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
- Impact of flexible periodic premiums on variable annuity guarantees
- Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
- scientific article; zbMATH DE number 2065145 (Why is no real title available?)
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
- LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK
- Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation
- Pricing and hedging guaranteed annuity options via static option replication.
- Pricing and hedging defaultable participating contracts with regime switching and jump risk
- Hedging guarantees in variable annuities under both equity and interest rate risks
- Pricing and hedging of variable annuities with state-dependent fees
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