Pricing and hedging guaranteed annuity options via static option replication

A. Pelsser*

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

Original languageEnglish
Pages (from-to)283-296
Number of pages14
JournalInsurance: Mathematics and Economics
Volume33
Issue number2
DOIs
Publication statusPublished - 20 Oct 2003
Externally publishedYes
Event6th IME Conference - Lisbon, Portugal
Duration: 15 Jul 200217 Jul 2002

Keywords

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

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