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

Insurance: Mathematics and Economics

Volumn 38, Issue 2, 2006, Pages 215-228

  Coleman, Thomas F ^a   Li, Yuying ^a   Patron, Maria Cristina ^b  

^a UNIVERSITY OF WATERLOO   (Canada)

^b Department of Molecular Biology and Genetics   (United States)

Author keywords

Equity risk; Interest rate risk; Lookback option; Risk minimization; Variable annuity

Indexed keywords

EID: 33644864121     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2005.06.002     Document Type: Article

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