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The risk management of minimum return guarantees

Mahayni, Antje (contributor); Schlögel, Erik (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001970344

The risk management of minimum return guarantees

Mahayni, Antje; Schlögl, Erik - 2003

Persistent link: https://www.econbiz.de/10002250900

Equity-linked pension schemes with guarantees

Aase Nielsen, Jørgen; Sandmann, Klaus; Schlögl, Erik - 2010

Persistent link: https://www.econbiz.de/10008662192

Pricing Variable Annuity Guarantees in a Local Volatility Framework

Rayée, Grégory - 2012

In this paper, we study the price of Variable Annuity Guarantees, especially of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), and this in the settings of a derivative pricing model where the underlying spot (the fund) is locally governed by a geometric Brownian...

Persistent link: https://www.econbiz.de/10013108124