Búsqueda

Pricing and hedging variable annuity guarantees with multiasset stochastic investment models

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20130026848
003  MAP
005  20130905143824.0
008  130904e20130304esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20130011530‎$a‎Cheuk-Yin Ng, Andrew
24510‎$a‎Pricing and hedging variable annuity guarantees with multiasset stochastic investment models‎$c‎Andrew Cheuk-Yin Ng, Johnny Siu-Hang Li
520  ‎$a‎Variable annuities are often sold with guarantees to protect investors from downside investment risk. The majority of variable annuity guarantees are written on more than one asset, but in practice, single-asset (univariate) stochastic investment models are mostly used for pricing and hedging these guarantees. This practical shortcut may lead to problems such as basis risk. In this article, we contribute a multivariate framework for pricing and hedging variable annuity guarantees.We explain how to transform multivariate stochastic investment models into their risk-neutral counterparts, which can then be used for pricing purposes.We also demonstrate how dynamic hedging can be implemented in a multivariate framework and how the potential hedging error can be quantified by stochastic simulations
7730 ‎$w‎MAP20077000239‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-‎$x‎1092-0277‎$g‎04/03/2013 Tomo 17 Número 1 - 2013 , p. 41-62