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Gan et al., 2017 - Google Patents

Efficient greek calculation of variable annuity portfolios for dynamic hedging: A two-level metamodeling approach

Gan et al., 2017

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Document ID
8206774995946226356
Author
Gan G
Lin X
Publication year
Publication venue
North American Actuarial Journal

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Snippet

The financial risk associated with the guarantees embedded in variable annuities cannot be addressed adequately by traditional actuarial techniques. Dynamical hedging is used in practice to mitigate the financial risk arising from variable annuities. However, a major …
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