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

Erstveröffentlichung

2011

Authors

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.41.2.2136987

Institutions

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

Metadata

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