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

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  • Coleman, Thomas F.
  • Li, Yuying
  • Patron, Maria-Cristina

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  • Coleman, Thomas F. & Li, Yuying & Patron, Maria-Cristina, 2006. "Hedging guarantees in variable annuities under both equity and interest rate risks," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 215-228, April.
    • Handle: RePEc:eee:insuma:v:38:y:2006:i:2:p:215-228
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    1. David Heath & Eckhard Platen & Martin Schweizer, 2001. "Numerical Comparison of Local Risk-Minimisation & Mean-Variance Hedging," Published Paper Series 2001-3, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    2. Thomas Møller, 2001. "Risk-minimizing hedging strategies for insurance payment processes," Finance and Stochastics, Springer, vol. 5(4), pages 419-446.
    3. Martin Schweizer, 1995. "Variance-Optimal Hedging in Discrete Time," Mathematics of Operations Research, INFORMS, vol. 20(1), pages 1-32, February.
    4. Persson, Svein-Arne, 1993. "Valuation of a multistate life insurance contract with random benefits," Scandinavian Journal of Management, Elsevier, vol. 9(Supplemen), pages 73-86.
    5. X. Sheldon Lin & Ken Seng Tan, 2003. "Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates," North American Actuarial Journal, Taylor & Francis Journals, vol. 7(4), pages 72-91.
    6. Fabio Mercurio & Ton Vorst, 1996. "Option pricing with hedging at fixed trading dates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(2), pages 135-158.
    7. Föllmer, H. & Schweizer, M., 1989. "Hedging by Sequential Regression: an Introduction to the Mathematics of Option Trading," ASTIN Bulletin, Cambridge University Press, vol. 19(S1), pages 29-42, November.
    8. Thomas Møller, 2001. "Hedging Equity-Linked Life Insurance Contracts," North American Actuarial Journal, Taylor & Francis Journals, vol. 5(2), pages 79-95.
    9. David Heath & Eckhard Platen & Martin Schweizer, 2001. "A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 385-413, October.
    10. Aase Nielsen, J. & Sandmann, Klaus, 1995. "Equity-linked life insurance: A model with stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 16(3), pages 225-253, July.
    11. Bacinello, Anna Rita & Ortu, Fulvio, 1993. "Pricing equity-linked life insurance with endogenous minimum guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 12(3), pages 245-257, June.
    12. Møller, Thomas, 1998. "Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts," ASTIN Bulletin, Cambridge University Press, vol. 28(1), pages 17-47, May.
    13. Brennan, Michael J. & Schwartz, Eduardo S., 1976. "The pricing of equity-linked life insurance policies with an asset value guarantee," Journal of Financial Economics, Elsevier, vol. 3(3), pages 195-213, June.
    14. Boyle, Phelim P. & Hardy, Mary R., 1997. "Reserving for maturity guarantees: Two approaches," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 113-127, November.
    15. Bacinello, Anna Rita & Ortu, Fulvio, 1993. "Pricing equity-linked life insurance with endogenous minimum guarantees : A corrigendum," Insurance: Mathematics and Economics, Elsevier, vol. 13(3), pages 303-304, December.
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