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North American Actuarial Journal Volume 21, 2017 - Issue 4
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Feature Articles

Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk

Maciej AugustyniakDépartement de mathématiques et de statistique, Université de Montréal, Montreal, Canada;Laboratoire de mathématiques actuarielles et financières Quantact, Centre de recherches mathématiques, Université de Montréal, Montreal, Canada
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Mathieu BoudreaultDépartement de mathématiques, Université du Québec à Montréal, Montreal, Canada;Laboratoire de mathématiques actuarielles et financières Quantact, Centre de recherches mathématiques, Université de Montréal, Montreal, CanadaCorrespondence[email protected]
Pages 502-525 | Published online: 26 Sep 2017

Citations (8)

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Read on this site (1)

Runhuan Feng, Guojun Gan & Ning Zhang. (2022) Variable annuity pricing, valuation, and risk management: a survey. Scandinavian Actuarial Journal 2022:10, pages 867-900.
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Articles from other publishers (7)

Maciej Augustyniak, Alexandru Badescu & Mathieu Boudreault. (2023) On the Measurement of Hedging Effectiveness for Long-Term Investment Guarantees. Journal of Risk and Financial Management 16:2, pages 112.
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Thorsten Moenig. (2021) Efficient valuation of variable annuity portfolios with dynamic programming. Journal of Risk and Insurance 88:4, pages 1023-1055.
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Alexandre Carbonneau. (2021) Deep hedging of long-term financial derivatives. Insurance: Mathematics and Economics 99, pages 327-340.
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Maciej Augustyniak, Frédéric Godin & Emmanuel Hamel. (2020) A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES. ASTIN Bulletin 51:1, pages 131-159.
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Jan Bauer. (2020) Hedging of Variable Annuities under Basis Risk. Asia-Pacific Journal of Risk and Insurance 14:2.
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Frédéric Godin, Emmanuel Hamel, Patrice Gaillardetz & Edwin Hon-Man Ng. (2022) Risk allocation through Shapley decompositions with applications to variable annuities. SSRN Electronic Journal.
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Maciej Augustyniak, Frédéric Godin & Emmanuel Hamel. (2019) A Mixed Bond and Equity Fund Model for the Valuation of Segregated Fund Policies. SSRN Electronic Journal.
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