Pricing and hedging life insurance contracts with minimum guarantees are major areas of concern for insurers and researchers. In this paper, we propose a unified framework for pricing, hedging, and assessing the risk embedded in the guarantees offered by Variable Annuities in a Lévy market. We...

Hedging options in non-Gaussian models is a well-known and difficult task, yet remaining important for risk practitioners from banks to insurance companies. Hence, solutions through the quadratic hedging methods have been recently suggested, see Cont and Tankov (2004), Riesner (2006) and...

This paper suggests a unified methodology for assessing the risk embedded in ratchet guarantees offered in life insurance Variable Annuity contracts. Using a non-Gaussian setting in line with most stylized features observed in the market, we address these questions from an operational risk...

The goal of this paper is to suggest a general approach for risk management by allowing jumps occurring in the underlying assets dynamics. This methodology is based on the generalized Fourier transform in line with the works of Lewis (2001), Boyarchenko and Levendorski i (2000) as well as...