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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 the pricing of equity-indexed annuities using risk measures and presents dynamic hedging ...
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Description: This is the abstract of a paper that considers the pricing of equity-indexed annuities using risk measures and presents dynamic hedging strategies underlying these valuations. Since these products involve mortality as well as financial risks, the authors combine the actuarial and financial approaches to protect insurance companies against the unhedgeable mortality risk.
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- 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

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Valuation of Equity-Linked Insurance Using Risk Measures