Pricing and hedging variable annuities in a Lévy Market : a risk management perspective

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<dc:creator>Kélani, Abdou</dc:creator>
<dc:date>2017-03-01</dc:date>
<dc:description xml:lang="es">Sumario: Pricing and hedging life insurance contracts with minimum guarantees are major areas of concern for insurers and researchers. In this  article, we propose a unified framework for pricing, hedging, and assessing the risk embedded in the guarantees offered by Variable Annuities in a L¿evy market.We address these questions from a risk management perspective. This method proves to be fast, accurate, and efficient. For hedging, we use a local risk minimization to provide a concise formula for the optimal hedging ratio.We also consider hedging strategies that use a portfolio of standard options. For assessing risk, we introduce an accumulated discounted loss function that takes mortality, transaction costs, and fees into account.We apply our resulting unified framework to the Minimum Guarantees for Maturity Benefit, Death Benefit, and Accumulation Benefit contracts.We illustrate the whole method with CGMYand Kou processes, which prove to offer a realistic modeling for financial prices. From this application, we draw important practical implications. In particular, we show that the assumption of geometric Brownian motion leads to undervalue the actual economic capital necessary to hedge and gives an illusion of safety. </dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/159602.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Tarificación</dc:subject>
<dc:subject xml:lang="es">Contrato de seguro</dc:subject>
<dc:subject xml:lang="es">Gerencia de riesgos</dc:subject>
<dc:subject xml:lang="es">Seguro de vida</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Pricing and hedging variable annuities in a Lévy Market : a risk management perspective</dc:title>
<dc:relation xml:lang="es">En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 01/03/2017 Volumen 84 Número 1 - marzo 2017 , p. 209-238</dc:relation>
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