Centro de Documentacion de Fundación MAPFRE - Worst-Case Valuation of Equity-Linked Products Using Risk-Minimizing Strategies

MAP20220008532

Worst-Case Valuation of Equity-Linked Products Using Risk-Minimizing Strategies / Patrice Gaillardetz, Emmanuel Osei Mireku

Sumario: The impact of model risk when hedging equity-linked products and other investment guarantees is significant. We propose a model to determine the worst-case value of an equity-linked product through partial hedging. Risk control strategies based on conditional Value at Risk measures are used. The model integrates both mortality and financial risk associated with these products to find the worst-case value. We adopt robust optimization techniques to compute an optimal hedging strategy. To demonstrate versatility of the framework, numerical examples of point-to-point equity-indexed annuities are presented in multinomial lattice dynamics. We compare robustness of the model to super-replicating and quadratic hedging strategies by computing their capital requirements.

En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 07/03/2022 Tomo 26 Número 1 - 2022 , p. 64-81

1. Valoración de riesgos . 2. Modelos analíticos . 3. Cálculo actuarial . I. Osei Mireku, Emmanuel . II. Título.