By applying the principle of equivalent forward preferences, this paper revisits the pricing and hedging problems for … policyholder. For both zero volatility and non-zero volatility forward utility preferences, prices and hedging strategies of the … provided for the zero volatility case. The derived prices and hedging strategies are also compared with classical results in …

I study dynamic hedging for variable annuities under basis risk. Basis risk, which arises from the imperfect … correlation between the underlying fund and the proxy asset used for hedging, has a highly negative impact on the hedging … performance. I investigate whether the choice of a suitable hedging strategy can help to reduce the risk for the insurance company …

basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort …

Pricing and hedging life insurance contracts with minimum guarantees are major areas of concern for insurers and … researchers. In this paper, we propose a unified framework for pricing, hedging, and assessing the risk embedded in the guarantees … proves to be fast, accurate, and efficient. For hedging, we use a local risk minimization to provide a concise formula for …

, is the risk management of the embedded options by a tractable and realistic hedging strategy. The long maturity of life …

We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is …. We also show that the induced hedging strategies indeed produce a dynamic superhedge and subhedge under the statistical … by finite difference methods. For our contracts and choice of parameters the pricing and hedging is fairly robust with …