Semi-static hedging of variable annuities

DOI10.1016/j.insmatheco.2016.01.004zbMath1348.91128OpenAlexW2261958352MaRDI QIDQ282294

Carole Bernard, Minsuk Kwak

Publication date: 12 May 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.01.004

zbMATH Keywords

effective hedgingembedded guaranteesperiodic feessemi-static hedgingvariable annuities

Mathematics Subject Classification ID

Related Items (11)

Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation ⋮ Optimal surrender strategies and valuations of path-dependent guarantees 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 ⋮ Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models ⋮ TAXATION OF A GMWB VARIABLE ANNUITY IN A STOCHASTIC INTEREST RATE MODEL ⋮ Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates ⋮ Pricing variable annuity with surrender guarantee ⋮ Semi-analytical prices for lookback and barrier options under the Heston model ⋮ Pricing and hedging defaultable participating contracts with regime switching and jump risk ⋮ Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk

Cites Work

• Unnamed Item
• The effect of modelling parameters on the value of GMWB guarantees
• Individual post-retirement longevity risk management under systematic mortality risk
• Hedging guarantees in variable annuities under both equity and interest rate risks
• Financial valuation of guaranteed minimum withdrawal benefits
• Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
• GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• The payoff distribution model: an application to dynamic portfolio insurance
• Pricing Annuity Guarantees Under a Regime-Switching Model
• Semi-Static Hedging for GMWB in Variable Annuities
• 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
• Hedging and Reserving for Single-Premium Segregated Fund Contracts

This page was built for publication: Semi-static hedging of variable annuities