Hedging guarantees in variable annuities under both equity and interest rate risks

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      <subfield code="a">Coleman, Thomas F.</subfield>
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      <subfield code="a">Hedging guarantees in variable annuities under both equity and interest rate risks</subfield>
      <subfield code="c">Thomas F. Coleman, Yuying Li and Maria-Cristina Patron</subfield>
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      <subfield code="a">Effective hedging strategies for variable annuities are crucial for insurance companies in preventing potentially large losses. Authors consider discrete hedging of options embedded in guarantees with ratchet features, under both equity (including jump) risk and interest rate riks. Since discrete hedging and the underlying model considered lead to an incomplete market, we compute hedging strategies using local risk minimization. Our results suggest that riks minimization hedging, under a joint model for the undelying and interest rate, leads to effective risk reduction. Moreover, hedging with standard options is superior to hedging with the underlying when both equity and interest rate risks are appropriately modeled</subfield>
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      <subfield code="a">Minimización de riesgos</subfield>
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      <subfield code="a">Li, Yuying</subfield>
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      <subfield code="a">Patron, Maria Cristina</subfield>
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      <subfield code="d">Oxford: Elsevier Science</subfield>
      <subfield code="t">Insurance Mathematics & Economics</subfield>
      <subfield code="g"> nº 2 vol.38, 2006 ; p. 215-228</subfield>
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