Ankirchner, Stefan; Schneider, Judith C.; Schweizer, … - In: Journal of Economic Dynamics and Control 41 (2014) C, pp. 93-109
We reveal pitfalls in the hedging of insurance contracts with a minimum return guarantee on the underlying investment, e.g. an external mutual fund. We analyze basis risk entailed by hedging the guarantee with a dynamic portfolio of proxy assets for the funds. We also take account of liquidity...