Hedging of guaranteed maturity benefits in unit-linked life insurance

DOI10.1007/s11857-010-0105-3zbMath1195.91066OpenAlexW2007648255MaRDI QIDQ977306

Stefan Graf, Hans-Joachim Zwiesler, Melanie Hauser

Publication date: 21 June 2010

Published in: Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11857-010-0105-3

zbMATH Keywords

simulationvariable annuitiesdelta-hedgingdelta-rho-hedging

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (1)

RISK ANALYSIS OF ANNUITY CONVERSION OPTIONS IN A STOCHASTIC MORTALITY ENVIRONMENT

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• Risk-neutral valuation. Pricing and hedging of financial derivatives.

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