Local hedging of variable annuities in the presence of basis risk
By Denis-Alexandre Trottier, Frédéric Godin and Emmanuel Hamel
| Year of publication: |
2018
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|---|---|
| Authors: | Trottier, Denis-Alexandre ; Godin, Frédéric ; Hamel, Emmanuel |
| Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 48.2018, 2, p. 611-646
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| Subject: | Basis risk | hedging | segregated funds | variable annuities | risk measures | risk management | regime-switching models | Hedging | Risikomanagement | Risk management | Risiko | Risk | Theorie | Theory | Lebensversicherung | Life insurance | Risikomodell | Risk model | Derivat | Derivative | Risikomaß | Risk measure | Private Altersvorsorge | Private retirement provision |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2018.7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011875672