Impact of hedging strategy on capital charges for variable annuities
Put options may reduce the cost of hedging strategies for insurers
CLICK HERE TO DOWNLOAD THE PDF
For insurers, the profitability of variable annuity contracts depends heavily on the hedging schemes used to mitigate their associated financial liabilities. Beyond financial performance, the inclusion of protection, such as protective put options, in hedging portfolios contributes to reducing the regulatory capital charges incurred by the insurer. In this article, Benoit Vaucher and Vivek Shah focus on quantifying how capital charges affect the total economic
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Investments
Estimating mean reversions in interest rate models
The speed of factors’ mean reversion in rate models is estimated
Overcoming Markowitz’s instability with hierarchical risk parity
Portfolio optimisation via HRP provides stable and robust weight estimates
Quantum two-sample test for investment strategies
Quantum algorithms display high discriminatory power in the classification of probability distributions
Choosing trading strategies using importance sampling
The sampling technique is more efficient than A-B testing at comparing decision rules
Quantum cognition machine learning: financial forecasting
A new paradigm for training machine learning algorithms based on quantum cognition is presented
A hard exit threshold strategy for market-makers
A closed-form solution to derive optimal stop-loss and profit-taking levels is presented
Harvesting the FX skew premium
Observing the vol-of-vol parameter may reveal a skew premium in FX markets
Dynamic margining long/short equity trading strategies
A repo haircut model extends a previous solution for long-only strategies
