Hedging guarantees in variable annuities under both equity and interest rate risks
نویسندگان
چکیده
منابع مشابه
Hedging Guarantees in Variable Annuities Under Both Equity and Interest Rate Risks
Effective hedging strategies for variable annuities are crucial for insurance companies in preventing potentially large losses. We consider discrete hedging of options embedded in guarantees with ratchet features, under both equity (including jump) risk and interest rate risk. Since discrete hedging and the underlying model considered lead to an incomplete market, we compute hedging strategies ...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2006
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2005.06.002