Hedging and Reserving for Single-Premium Segregated Fund Contracts

DOI10.1080/10920277.2000.10595903zbMath1083.91518OpenAlexW2109170369MaRDI QIDQ5718088

Mary R. Hardy

Publication date: 13 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.2000.10595903

Mathematics Subject Classification ID

Related Items (13)

Semi-static hedging of variable annuities ⋮ Reserving for maturity guarantees: Two approaches ⋮ Pricing maturity guarantee under a refracted Brownian motion ⋮ Two-phase selection of representative contracts for valuation of large variable annuity portfolios ⋮ Impact of Flexible Periodic Premiums on Variable Annuity Guarantees ⋮ Hedging guarantees in variable annuities under both equity and interest rate risks ⋮ Application of data clustering and machine learning in variable annuity valuation ⋮ A hybrid method to evaluate pure endowment policies: Crédit Agricole and ERGO index linked policies ⋮ Quantile hedging on equity-linked life insurance contracts with transaction costs ⋮ Deep hedging of long-term financial derivatives ⋮ Pricing bounds and bang-bang analysis of the Polaris variable annuities ⋮ Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach ⋮ Nonparametric Inference for VaR, CTE, and Expectile with High-Order Precision

Cites Work

• Pricing equity-linked life insurance with endogenous minimum guarantees
• Reserving for maturity guarantees: Two approaches

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