کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077654 | 1374142 | 2006 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Hedging guarantees in variable annuities under both equity and interest rate risks
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Hedging guarantees in variable annuities under both equity and interest rate risks Hedging guarantees in variable annuities under both equity and interest rate risks](/preview/png/5077654.png)
چکیده انگلیسی
Effective hedging strategies for variable annuities are crucial for insurance companies in preventing potentially large losses. We consider discrete hedging of options embedded in guarantees with ratchet features, under both equity (including jump) risk and interest rate risk. 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 risk minimization hedging, under a joint model for the underlying 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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 38, Issue 2, 7 April 2006, Pages 215-228
Journal: Insurance: Mathematics and Economics - Volume 38, Issue 2, 7 April 2006, Pages 215-228
نویسندگان
Thomas F. Coleman, Yuying Li, Maria-Cristina Patron,