Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk

DOI10.1080/10920277.2017.1316210zbMath1414.91159OpenAlexW3124633818MaRDI QIDQ5379240

Maciej Augustyniak, Mathieu Boudreault

Publication date: 28 May 2019

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

Full work available at URL: https://doi.org/10.1080/10920277.2017.1316210

zbMATH Keywords

interest rate riskvariable annuitiesdynamic delta-rho hedging effectiveness

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES ⋮ Deep hedging of long-term financial derivatives ⋮ Variable annuity pricing, valuation, and risk management: a survey

Uses Software

• sde

Cites Work

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