Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature

DOI10.1080/10920277.2002.10596047zbMath1084.91509OpenAlexW2039691447MaRDI QIDQ5715864

Martin le Roux, H. Windcliff, Peter A. I. Forsyth, Kenneth Vetzal

Publication date: 5 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.2002.10596047

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Reset and withdrawal rights in dynamic fund protection, Modeling partial Greeks of variable annuities with dependence, Exact solutions for a strike reset put option and a shout call option, Options with Multiple Reset Rights, A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB), The effect of modelling parameters on the value of GMWB guarantees, Application of data clustering and machine learning in variable annuity valuation, OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT

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