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Move-based hedging of variable annuities : a semi-analytic approach

Lin, X. Sheldon; Wu, Panpan; Wang, Xiao - In: Insurance / Mathematics & economics 71 (2016), pp. 40-49

Persistent link: https://www.econbiz.de/10011630601

Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits

Feng, Runhuan; Jing, Xiaochen - In: Insurance / Mathematics & economics 72 (2017), pp. 36-48

Persistent link: https://www.econbiz.de/10011691495

Indifference fee rate for variable annuities

Chevalier, Etienne; Lim, Thomas; Romero, Ricardo Romo - In: Applied mathematical finance 23 (2016) 3/4, pp. 278-308

Persistent link: https://www.econbiz.de/10011704242

Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality

Liang, Xiaoqing; Tsai, Cary Chi-Liang; Lu, Yi - In: Insurance / Mathematics & economics 70 (2016), pp. 150-161

Persistent link: https://www.econbiz.de/10011597256

Quantitative modeling of risk management strategies : stochastic reserving and hedging of variable annuity guaranteed benefits

Feng, Runhuan; Yi, Bingji - In: Insurance / Mathematics & economics 85 (2019), pp. 60-73

Persistent link: https://www.econbiz.de/10011990615

Using neural networks to price and hedge variable annuity guarantees

Doyle, Daniel; Groendyke, Chris - In: Risks : open access journal 7 (2019) 1/2, pp. 1-19

This paper explores the use of neural networks to reduce the computational cost of pricing and hedging variable annuity guarantees. Pricing these guarantees can take a considerable amount of time because of the large number of Monte Carlo simulations that are required for the fair value of these...

Persistent link: https://www.econbiz.de/10012018740