This paper proposes a fair valuation approach to price variable annuity liabilities and embedded guarantee riders in a dynamic multi-period setting. The focus of the paper is on variable annuity with the Guaranteed Lifetime Withdrawal Benefit(GLWB) rider with exposure to both equity and...

This paper investigates dynamic hedging strategies for liabilities that are exposed to longevity risk. In particular, we consider the case where a hedger wishes to minimize the variance of her hedging error using longevity-linked derivatives. Time-consistent, closed-form solutions of optimal...