Pricing and hedging guaranteed annuity options via static option replication

A. Pelsser

doi:10.1016/S0167-6687(03)00154-9

Pricing and hedging guaranteed annuity options via static option replication

^*Corresponding author for this work

Research output: Contribution to journal › Article › Academic › peer-review

Original language	English
Pages (from-to)	283-296
Number of pages	14
Journal	Insurance: Mathematics and Economics
Volume	33
Issue number	2
DOIs	https://doi.org/10.1016/S0167-6687(03)00154-9
Publication status	Published - 20 Oct 2003
Externally published	Yes
Event	6th IME Conference - Lisbon, Portugal Duration: 15 Jul 2002 → 17 Jul 2002

Keywords

static option replication
guaranteed annuity options
hedging methodology
LIFE-INSURANCE LIABILITIES
TERM STRUCTURE
INTEREST-RATES
VALUATION
DERIVATIVES
CONTRACTS
FRAMEWORK
POLICIES

Access to Document

10.1016/S0167-6687(03)00154-9

Cite this

@article{362f8afb8812420d9bde656ddb3217c4,

title = "Pricing and hedging guaranteed annuity options via static option replication",

keywords = "static option replication, guaranteed annuity options, hedging methodology, LIFE-INSURANCE LIABILITIES, TERM STRUCTURE, INTEREST-RATES, VALUATION, DERIVATIVES, CONTRACTS, FRAMEWORK, POLICIES",

author = "A. Pelsser",

year = "2003",

month = oct,

day = "20",

doi = "10.1016/S0167-6687(03)00154-9",

language = "English",

volume = "33",

pages = "283--296",

journal = "Insurance: Mathematics and Economics",

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publisher = "Elsevier",

number = "2",

note = "6th IME Conference ; Conference date: 15-07-2002 Through 17-07-2002",

}

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T1 - Pricing and hedging guaranteed annuity options via static option replication

AU - Pelsser, A.

PY - 2003/10/20

Y1 - 2003/10/20

KW - static option replication

KW - guaranteed annuity options

KW - hedging methodology

KW - LIFE-INSURANCE LIABILITIES

KW - TERM STRUCTURE

KW - INTEREST-RATES

KW - VALUATION

KW - DERIVATIVES

KW - CONTRACTS

KW - FRAMEWORK

KW - POLICIES

U2 - 10.1016/S0167-6687(03)00154-9

DO - 10.1016/S0167-6687(03)00154-9

M3 - Article

VL - 33

SP - 283

EP - 296

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

SN - 0167-6687

IS - 2

T2 - 6th IME Conference

Y2 - 15 July 2002 through 17 July 2002

ER -