LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK

DOI10.1017/asb.2018.7zbMath1390.91213OpenAlexW2731702480WikidataQ129926018 ScholiaQ129926018MaRDI QIDQ4562946

Emmanuel Hamel, Denis-Alexandre Trottier, Frédéric Godin

Publication date: 6 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2018.7

zbMATH Keywords

hedgingrisk measuresregime-switching modelsrisk managementsegregated fundsbasis riskvariable annuities

Mathematics Subject Classification ID

Related Items (11)

Utilitarian versus neutralitarian design of endowment fund policies ⋮ Option pricing under stochastic volatility models with latent volatility ⋮ Option pricing under regime-switching models: novel approaches removing path-dependence ⋮ Risk allocation through shapley decompositions, with applications to variable annuities ⋮ Valuing Lifetime Withdrawal Guarantees in RILAs ⋮ A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES ⋮ Variable annuities: market incompleteness and policyholder behavior ⋮ Option pricing in regime-switching frameworks with the extended Girsanov principle ⋮ Deep hedging of long-term financial derivatives ⋮ THE EFFECT OF THE ASSUMED INTEREST RATE AND SMOOTHING ON VARIABLE ANNUITIES ⋮ Variable annuity pricing, valuation, and risk management: a survey

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