The Risk Management of Minimum Return Guarantees
Authors: | Mahayni, Antje ; Schlögl, Erik |
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Institutions: | Verband der Hochschullehrer für Betriebswirtschaft |
Published in: | |
Subject: | Risikomanagement | risk management | Lebensversicherung | Betriebliche Altersversorgung | Benchmark |
- 1 Introduction
- 2 The Embedded Power Option
- 3 Hedging and Model Uncertainty
- 4 Static Hedging
- 4.1 Hedging with standard options
- 4.2 Bounds on contract parameters implied by market prices
- 5 Conservative contract specification based on a robust dynamic hedge
- 5.1 Robust hedging
- 5.2 Improving the price bounds
- 6 Conclusion
- References
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