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

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
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100  ‎$0‎MAPA20180001314‎$a‎Gaillardetz, Patrice
24510‎$a‎Worst-Case Valuation of Equity-Linked Products Using Risk-Minimizing Strategies‎$c‎Patrice Gaillardetz, Emmanuel Osei Mireku
520  ‎$a‎The 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.
650 4‎$0‎MAPA20080604394‎$a‎Valoración de riesgos
650 4‎$0‎MAPA20080586454‎$a‎Modelos analíticos
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
7001 ‎$0‎MAPA20220002738‎$a‎Osei Mireku, Emmanuel
7730 ‎$w‎MAP20077000239‎$g‎07/03/2022 Tomo 26 Número 1 - 2022 , p. 64-81‎$x‎1092-0277‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-