The Impact of Stochastic Volatility on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities

Erstveröffentlichung
2011
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Wissenschaftlicher Artikel


Authors
Kling, Alexander
Ruez, Frederik
Russ, Jochen
Institutions
Institut für Finanz- und Aktuarwissenschaften in Verbindung mit der Universität Ulm (ifa)
Published in
ASTIN Bulletin ; 41 (2011), 2. - S. 511-545. - ISSN 0515-0361. - eISSN 1783-1350
Keywords
Variable Annuities; Guaranteed Minimum Benefits; Pricing; Hedging; Hedge Performance; Stochastic Volatility; Model Risk; OPTIONS; JUMP
Dewey Decimal Group
DDC 300 / Social sciences
DDC 330 / Economics
DDC 510 / Mathematics
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