Worst-Case Valuation of Equity-Linked Products Using Risk-Minimizing Strategies

<?xml version="1.0" encoding="UTF-8"?><modsCollection xmlns="http://www.loc.gov/mods/v3" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-8.xsd">
<mods version="3.8">
<titleInfo>
<title>Worst-Case Valuation of Equity-Linked Products Using Risk-Minimizing Strategies</title>
</titleInfo>
<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20220002738">
<namePart>Osei Mireku, Emmanuel</namePart>
<nameIdentifier>MAPA20220002738</nameIdentifier>
</name>
<typeOfResource>text</typeOfResource>
<genre authority="marcgt">periodical</genre>
<originInfo>
<place>
<placeTerm type="code" authority="marccountry">esp</placeTerm>
</place>
<dateIssued encoding="marc">2022</dateIssued>
<issuance>serial</issuance>
</originInfo>
<language>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</language>
<physicalDescription>
<form authority="marcform">print</form>
</physicalDescription>
<abstract displayLabel="Summary">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.

</abstract>
<note type="statement of responsibility">Patrice Gaillardetz, Emmanuel Osei Mireku</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080604394">
<topic>Valoración de riesgos</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080586454">
<topic>Modelos analíticos</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080579258">
<topic>Cálculo actuarial</topic>
</subject>
<classification authority="">6</classification>
<relatedItem type="host">
<titleInfo>
<title>North American actuarial journal</title>
</titleInfo>
<originInfo>
<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
</originInfo>
<identifier type="issn">1092-0277</identifier>
<identifier type="local">MAP20077000239</identifier>
<part>
<text>07/03/2022 Tomo 26 Número 1 - 2022 , p. 64-81</text>
</part>
</relatedItem>
<recordInfo>
<recordContentSource authority="marcorg">MAP</recordContentSource>
<recordCreationDate encoding="marc">220315</recordCreationDate>
<recordChangeDate encoding="iso8601">20220315124825.0</recordChangeDate>
<recordIdentifier source="MAP">MAP20220008532</recordIdentifier>
<languageOfCataloging>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</languageOfCataloging>
</recordInfo>
</mods>
</modsCollection>