Transcription of Hedging Guarantees in Variable Annuities Under Both Equity ...
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Hedging Guarantees in Variable Annuities Under Both Equity ...
Hedging Guarantees in Variable AnnuitiesUnder Both Equity and Interest Rate RisksThomas F. Colemana, ,YuyingLia, Maria-Cristina Patronb,1aDepartment of Computer Science, Cornell University, Ithaca, NY 14853bCornell Theory Center - Manhattan, Cornell University, New York, NY 10004 AbstractEffective Hedging strategies for Variable Annuities are crucial for insurance compa-nies in preventing potentially large losses. We consider discrete Hedging of optionsembedded in Guarantees with ratchet features, Under both Equity (including jump)risk and interest rate risk.
Hedging Guarantees in Variable Annuities Under Both Equity and Interest Rate Risks Thomas F. Coleman a,∗,YuyingLi, Maria-Cristina Patronb,1 aDepartment of Computer Science, Cornell University, Ithaca, NY 14853 bCornell Theory Center - Manhattan, Cornell University, New York, NY 10004 Abstract Effective hedging strategies for variable annuities are crucial for insurance compa-
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