Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk-Reference-Cited by-同舟云学术

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Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk

Published:2017-09-26 Issue:4 Volume:21 Page:502-525
ISSN:1092-0277
Container-title:North American Actuarial Journal
language:en
Short-container-title:North American Actuarial Journal

Author:

Augustyniak Maciej¹²,Boudreault Mathieu³²

Affiliation:

1. Département de mathématiques et de statistique, Université de Montréal, Montreal, Canada

2. Laboratoire de mathématiques actuarielles et financières Quantact, Centre de recherches mathématiques, Université de Montréal, Montreal, Canada

3. Département de mathématiques, Université du Québec à Montréal, Montreal, Canada

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/10920277.2017.1316210

Reference56 articles.

1. Does model fit matter for hedging? Evidence from FTSE 100 options

2. Regime-dependent smile-adjusted delta hedging

3. An Out-of-Sample Analysis of Investment Guarantees for Equity-Linked Products

Cited by 8 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. On the Measurement of Hedging Effectiveness for Long-Term Investment Guarantees;Journal of Risk and Financial Management;2023-02-10

2. Variable annuity pricing, valuation, and risk management: a survey;Scandinavian Actuarial Journal;2022-03-28

3. Risk allocation through Shapley decompositions with applications to variable annuities;SSRN Electronic Journal;2022

4. Efficient valuation of variable annuity portfolios with dynamic programming;Journal of Risk and Insurance;2021-07-07

5. Deep hedging of long-term financial derivatives;Insurance: Mathematics and Economics;2021-07

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