Move-based hedging of variable annuities : a semi-analytic approach
X. Sheldon Lin, Panpan Wu, Xiao Wang
| Year of publication: |
November 2016
|
|---|---|
| Authors: | Lin, X. Sheldon ; Wu, Panpan ; Wang, Xiao |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 71.2016, p. 40-49
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| Subject: | Variable annuities | Embedded guarantees | Move-based hedging | Laplace transform | Semi analytic algorithm | Maturity randomization | Hedging | Lebensversicherung | Life insurance | Private Altersvorsorge | Private retirement provision | Finanzmathematik | Mathematical finance | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.07.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011630601