Local hedging of variable annuities in the presence of basis risk
Year of publication: |
2018
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Authors: | Trottier, Denis-Alexandre ; Godin, Frédéric ; Hamel, Emmanuel |
Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 48.2018, 2, p. 611-646
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Subject: | Basis risk | hedging | segregated funds | variable annuities | risk measures | risk management | regime-switching models | Hedging | Risiko | Risk | Risikomanagement | Risk management | Lebensversicherung | Life insurance | Risikomaß | Risk measure | Private Altersvorsorge | Private retirement provision | Risikomodell | Risk model | Portfolio-Management | Portfolio selection |
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