Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets
Year of publication: |
2020
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Authors: | Lin, X. Sheldon ; Yang, Shuai |
Published in: |
ASTIN bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge Univ. Press, ISSN 1783-1350, ZDB-ID 2148228-7. - Vol. 50.2020, 3, p. 913-957
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Subject: | balanced sampling | dynamic hedging | nested simulation | spline regression | Variable annuity portfolio | Theorie | Theory | Hedging | Portfolio-Management | Portfolio selection | Simulation | Private Altersvorsorge | Private retirement provision | Stichprobenerhebung | Sampling | Lebensversicherung | Life insurance |
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