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On the Importance of Hedging Dynamic Lapses in Variable Annuities
threshold is ex- pressed relative to the guaran- tee G. Table 1 shows that the money, the policyholder has ... Moneyness level paid upon surrender max(AT, G) Table 1 Decomposition of the payoff of a GMMB contract ...- Date: Aug 2015
- Competency: Strategic Insight and Integration>Strategy development; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Annuities>Variable annuities; Finance & Investments>Asset liability management