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Local hedging of variable annuities in the presence of basis risk

Recurso electrónico / electronic resource
MARC record
Tag12Value
LDR  00000cab a2200000 4500
001  MAP20180022548
003  MAP
005  20180717154924.0
008  180712e20180501bel|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20180010484‎$a‎Trottier, Denis-Alexandre
24510‎$a‎Local hedging of variable annuities in the presence of basis risk‎$c‎Denis-Alexandre Trottier, Fréderic Godin, Emmanuel Hamel
520  ‎$a‎A method to hedge variable annuities in the presence of basis risk is developed. A regime-switching model is considered for the dynamics of market assets. The approach is based on a local optimization of risk and is therefore very tractable and flexible. The local optimization criterion is itself optimized to minimize capital requirements associated with the variable annuity policy, the latter being quantified by the Conditional Value-at-Risk (CVaR) risk metric. In comparison to benchmarks, our method is successful in simultaneously reducing capital requirements and increasing profitability. Indeed the proposed local hedging scheme benefits from a higher exposure to equity risk and from time diversification of risk to earn excess return and facilitate the accumulation of capital. A robust version of the hedging strategies addressing model risk and parameter uncertainty is also provided
650 4‎$0‎MAPA20080586447‎$a‎Modelo estocástico
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080573614‎$a‎Renta vitalicia
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 4‎$0‎MAPA20080565992‎$a‎Incertidumbre
650 4‎$0‎MAPA20080604394‎$a‎Valoración de riesgos
7001 ‎$0‎MAPA20180010583‎$a‎Godin, Fréderic
7001 ‎$0‎MAPA20180010590‎$a‎Hamel, Emmanuel
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/05/2018 Volumen 48 Número 2 - mayo 2018 , p. 611-646