Semi-static hedging of guarantees in variable annuities under exponential lévy models

Mapping Intimacies ◽

10.5353/th_b4357222 ◽

2010 ◽

Author(s):

Long-fung Pang

Keyword(s):

Variable Annuities ◽

Static Hedging ◽

Exponential Lévy Models

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Semi-Static Hedging for GMWB in Variable Annuities

North American Actuarial Journal ◽

10.1080/10920277.2012.10590635 ◽

2012 ◽

Vol 16 (1) ◽

pp. 112-140 ◽

Author(s):

Adam Kolkiewicz ◽

Yan Liu

Keyword(s):

Variable Annuities ◽

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Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2011.02.009 ◽

2011 ◽

Vol 49 (1) ◽

pp. 100-114 ◽

Author(s):

Andrew Ngai ◽

Michael Sherris

Keyword(s):

Risk Management ◽

Longevity Risk ◽

Variable Annuities ◽

Static Hedging ◽

Longevity Bonds

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Semi-static hedging of variable annuities

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2016.01.004 ◽

2016 ◽

Vol 67 ◽

pp. 173-186 ◽

Author(s):

Carole Bernard ◽

Minsuk Kwak

Keyword(s):

Variable Annuities ◽

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Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets

The Journal of Computational Finance ◽

10.21314/jcf.2016.309 ◽

2016 ◽

Vol 20 (1) ◽

pp. 89-111 ◽

Author(s):

Peter Carr ◽

Ajay Khanna ◽

Dilip Madan

Keyword(s):

Market Prices ◽

Exponential Lévy Models

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Minimal Variance Hedging of Natural Gas Derivatives in Exponential Levy Models: Theory and Empirical Performance

SSRN Electronic Journal ◽

10.2139/ssrn.2145306 ◽

2012 ◽

Author(s):

Christian-Oliver Ewald ◽

Roy Nawar ◽

Tak-Kuen Siu

Keyword(s):

Natural Gas ◽

Minimal Variance ◽

Empirical Performance ◽

Exponential Lévy Models

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Modeling Partial Greeks of Variable Annuities with Dependence

SSRN Electronic Journal ◽

10.2139/ssrn.2844509 ◽

2016 ◽

Author(s):

Guojun Gan

Keyword(s):

Variable Annuities

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Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model

SSRN Electronic Journal ◽

10.2139/ssrn.2862657 ◽

2016 ◽

Author(s):

Zhenyu Cui ◽

Runhuan Feng ◽

MacKay Anne

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Variable Annuities ◽

Fee Structure ◽

Volatility Model

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Local Hedging of Variable Annuities in the Presence of Basis Risk

SSRN Electronic Journal ◽

10.2139/ssrn.2997118 ◽

2017 ◽

Author(s):

Denis-Alexandre Trottier ◽

Frrddric Godin ◽

Emmanuel Hamel

Keyword(s):

Variable Annuities ◽

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Hedging of Variable Annuities under Basis Risk

SSRN Electronic Journal ◽

10.2139/ssrn.3478538 ◽

2019 ◽

Author(s):

Jan Bauer

Keyword(s):

Variable Annuities ◽

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Basis Risk in Variable Annuities

SSRN Electronic Journal ◽

10.2139/ssrn.3531307 ◽

2020 ◽

Author(s):

Wenchu Li ◽

Thorsten Moenig ◽

Maciej Augustyniak

Keyword(s):

Variable Annuities ◽

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