Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective

Author:

Kélani Abdou,Quittard-Pinon François

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference39 articles.

1. Testing for Jumps in a Discretely Observed Process;Aït-Sahalia;Annals of Statistics,2009

2. Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option;Bacinello;Journal of Risk and Insurance,2003

3. Variable Annuities: A Unifying Valuation Approach;Bacinello;Insurance Mathematics & Economics,2011

4. A Lévy Process-Based Framework for the Fair Valuation of Participating Life Insurance Contracts;Ballotta;Insurance: Mathematics and Economics,2005

5. The Pricing of Options and Corporate Liabilities;Black;Journal of Political Economy,1973

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