I study dynamic hedging for variable annuities under basis risk. Basis risk, which arises from the imperfect … performance. I investigate whether the choice of a suitable hedging strategy can help to reduce the risk for the insurance company … better than all tested one-instrument strategies. A more substantial risk reduction could, however, be achieved by …

longevity risk is not an option for annuity providers, given that individuals already consider annuities to be expensive. An … riskiness retained by the provider, so to make sure that the business value can represent appropriately the risk-return trade …