Move-based hedging of variable annuities : a semi-analytic approach
Year of publication: |
November 2016
|
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Authors: | Lin, X. Sheldon ; Wu, Panpan ; Wang, Xiao |
Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 71.2016, p. 40-49
|
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 |
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