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Partial hedging for equity-linked productos using risk-minimizing strategies
Recurso electrónico / Electronic resource
Section: Articles
Title: Partial hedging for equity-linked productos using risk-minimizing strategies / Patrice Gaillardetz, Mehran MoghtadiAuthor: Gaillardetz, Patrice ‌
Notes: Sumario: In this article, we consider the pricing and hedging of equity-indexed annuities (EIAs) using local risk-minimizing strategies as well as evaluating the capital requirement for these products. Since these products involve mortality as well as financial risks, we integrate mortality risk and propose partial hedging strategies that protect the insurer based on risk measures. The framework we present makes use of sequential local risk-minimizing strategies to take into account all intermediate requirements. To demonstrate the flexibility of this framework we present numerical examples featuring point-to-point EIAs with a two-state regime-switching equity model.Related records: En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 04/12/2017 Tomo 21 Número 4 - 2017 , p. 580-593Materia / lugar / evento: Gerencia de riesgos ‌Matemática del seguro ‌Other categories: 6
Rights: In Copyright (InC)
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