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

Erstveröffentlichung
2011Authors
Kling, Alexander
Ruez, Frederik
Russ, Jochen
Wissenschaftlicher Artikel
Published in
ASTIN Bulletin ; 41 (2011), 2. - S. 511-545. - ISSN 0515-0361. - eISSN 1783-1350
Link to publication
https://dx.doi.org/10.2143/AST.41.2.2136987Institutions
Institut für Finanz- und Aktuarwissenschaften in Verbindung mit der Universität Ulm (ifa)Subject headings
[Free subject headings]: Variable Annuities | Guaranteed Minimum Benefits | Pricing | Hedging | Hedge Performance | Stochastic Volatility | Model Risk | OPTIONS | JUMP[DDC subject group]: DDC 300 / Social sciences | DDC 330 / Economics | DDC 510 / Mathematics