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Efficient VA Hedging Instruments for Target Volatility Portfolios
equity scenarios (“equal crash protection”) Dynamic Adjustment: Compare TV put to scaled vanilla put ... Volatility Puts vs. Vanillas SPXT10UT 6m 95%; Dynamic Adjustment Average Price and Payoff by Trade ...- Authors: Society of Actuaries, Jon Spiegel
- Date: Nov 2016
- Competency: Results-Oriented Solutions; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Annuities>Variable annuities; Pensions & Retirement>Risk management