Semi-Static Hedging for GMWB in Variable Annuities

DOI10.1080/10920277.2012.10590635zbMath1291.91205OpenAlexW2071323616MaRDI QIDQ5168691

Yan Liu, Adam W. Kolkiewicz

Publication date: 19 July 2014

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2012.10590635

Mathematics Subject Classification ID

Related Items (14)

Semi-static hedging of variable annuities ⋮ Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities ⋮ Dynamic conic hedging for competitiveness ⋮ Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method ⋮ Modeling partial Greeks of variable annuities with dependence ⋮ Impact of Flexible Periodic Premiums on Variable Annuity Guarantees ⋮ RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE ⋮ Application of data clustering and machine learning in variable annuity valuation ⋮ Optimal initiation of a GLWB in a variable annuity: no arbitrage approach ⋮ Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities ⋮ Valuation perspectives and decompositions for variable annuities with GMWB riders ⋮ EFFICIENT HEDGING OF PATH–DEPENDENT OPTIONS ⋮ On Suboptimality of Delta Hedging for Asian Options ⋮ Valuation of large variable annuity portfolios under nested simulation: a functional data approach

Cites Work

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• Prices and sensitivities of Asian options: A survey
• Pricing and hedging guaranteed annuity options via static option replication.
• Hedging guarantees in variable annuities under both equity and interest rate risks
• Financial valuation of guaranteed minimum withdrawal benefits
• Financial Modelling with Jump Processes
• Variance-Optimal Hedging in Discrete Time
• Hedging Equity-Linked Life Insurance Contracts

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