Coping with longevity via hedging: Fair dynamic valuation of variable annuities
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DOI: 10.1016/j.insmatheco.2024.04.005
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More about this item
Keywords
Fair dynamic valuation; Market-consistency; Variable annuity; Longevity risk; Convex hedging;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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