On the Importance of Hedging Dynamic Lapses in Variable Annuities

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On the Importance of Hedging Dynamic Lapses in Variable Annuities
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文章名称：On the Importance of Hedging Dynamic Lapses in Variable Annuities

作者：Maciej Augustyniak and Mathieu Boudreault

出版信息：Risk & Rewards,  Augyst 2015, Issue 66, pp12-16

共6p，文字版（非扫描版）PDF

目录：

GMMB Contract

Decomposition of the Payoff to the Policyholder

Fair Fee

Hedging Effectiveness

Market Assumptions

Hedging Assumptions

Analysis of Hedging Errors

References

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关键词：importance Annuities Variable Dynamic hedging