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...

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...