Measuring the Effectiveness of Static Hedging Strategies for a Guaranteed Minimum Income Benefit
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Publication:5168692
DOI10.1080/10920277.2012.10590636zbMath1291.91244OpenAlexW1994950672MaRDI QIDQ5168692
Claymore Marshall, David Saunders, Mary R. Hardy
Publication date: 19 July 2014
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2012.10590636
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Related Items (4)
Semi-static hedging of variable annuities ⋮ Dynamic conic hedging for competitiveness ⋮ Impact of Flexible Periodic Premiums on Variable Annuity Guarantees ⋮ Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
Cites Work
- Interest rate models -- theory and practice. With smile, inflation and credit
- A synthesis of risk measures for capital adequacy
- Coherent Measures of Risk
- Numerical Methods in Finance and Economics
- Pricing Interest-Rate-Derivative Securities
- Arbitrage Theory in Continuous Time
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