Pricing and hedging variable annuity guarantees with multiasset stochastic investment models

<?xml version="1.0" encoding="UTF-8"?><modsCollection xmlns="http://www.loc.gov/mods/v3" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-8.xsd">
<mods version="3.8">
<titleInfo>
<title>Pricing and hedging variable annuity guarantees with multiasset stochastic investment models</title>
</titleInfo>
<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20130011530">
<namePart>Cheuk-Yin Ng, Andrew</namePart>
<nameIdentifier>MAPA20130011530</nameIdentifier>
</name>
<typeOfResource>text</typeOfResource>
<genre authority="marcgt">periodical</genre>
<originInfo>
<place>
<placeTerm type="code" authority="marccountry">esp</placeTerm>
</place>
<dateIssued encoding="marc">2013</dateIssued>
<issuance>serial</issuance>
</originInfo>
<language>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</language>
<physicalDescription>
<form authority="marcform">print</form>
</physicalDescription>
<abstract displayLabel="Summary">Variable annuities are often sold with guarantees to protect investors from downside investment risk. The majority of variable annuity guarantees are written on more than one asset, but in practice, single-asset (univariate) stochastic investment models are mostly used for pricing and hedging these guarantees. This practical shortcut may lead to problems such as basis risk. In this article, we contribute a multivariate framework for pricing and hedging variable annuity guarantees.We explain how to transform multivariate stochastic investment models into their risk-neutral counterparts, which can then be used for pricing purposes.We also demonstrate how dynamic hedging can be implemented in a multivariate framework and how the potential hedging error can be quantified by stochastic simulations</abstract>
<note type="statement of responsibility">Andrew Cheuk-Yin Ng, Johnny Siu-Hang Li</note>
<classification authority="">6</classification>
<relatedItem type="host">
<titleInfo>
<title>North American actuarial journal</title>
</titleInfo>
<originInfo>
<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
</originInfo>
<identifier type="issn">1092-0277</identifier>
<identifier type="local">MAP20077000239</identifier>
<part>
<text>04/03/2013 Tomo 17 Número 1 - 2013 , p. 41-62</text>
</part>
</relatedItem>
<recordInfo>
<recordContentSource authority="marcorg">MAP</recordContentSource>
<recordCreationDate encoding="marc">130904</recordCreationDate>
<recordChangeDate encoding="iso8601">20130905143824.0</recordChangeDate>
<recordIdentifier source="MAP">MAP20130026848</recordIdentifier>
<languageOfCataloging>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</languageOfCataloging>
</recordInfo>
</mods>
</modsCollection>