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Loaded Participation Rates For Equity-Indexed Annuities
This paper first derives the fair participation rate based on a fair value of the equity-indexed annuity ... participation rate is obtained, based on the tail loading of the hedging error distribution. Risk management ...- Authors: PATRICE GAILLARDETZ, Youssef Joe Lakhmiri
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Annuities>Equity-indexed annuities; Annuities>Pricing - Annuities; Modeling & Statistical Methods>Stochastic models
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Valuation of Equity-Linked Insurance Using Risk Measures
Valuation of Equity-Linked Insurance Using Risk Measures This is the abstract of a paper that considers ... considers the pricing of equity-indexed annuities using risk measures and presents dynamic hedging strategies ...- Authors: PATRICE GAILLARDETZ
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Annuities>Equity-indexed annuities; Enterprise Risk Management>Capital management - ERM