Worst-Case Valuation of Equity-Linked Products Using Risk-Minimizing Strategies

The impact of model risk when hedging equity-linked products and other investment guarantees is significant. We propose a to determine the worst-case value an product through partial hedging. Risk control strategies based on conditional Value at measures are used. integrates both mortality financial associated with these find value. adopt robust optimization techniques compute optimal strategy. To demonstrate versatility framework, numerical examples point-to-point equity-indexed annuities presented in multinomial lattice dynamics. compare robustness super-replicating quadratic by computing their capital requirements.