Partial hedging for equity-linked productos using risk-minimizing strategies

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<title>Partial hedging for equity-linked productos using risk-minimizing strategies</title>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Patrice Gaillardetz, Mehran Moghtadi</note>
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<topic>Gerencia de riesgos</topic>
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<topic>Matemática del seguro</topic>
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<title>North American actuarial journal</title>
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<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
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<identifier type="issn">1092-0277</identifier>
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<text>04/12/2017 Tomo 21 Número 4 - 2017 , p. 580-593</text>
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