Hedging Costs for Variable Annuities
A general methodology is described in which policyholder behaviour is decoupled from the pricing of a variable annuity based on the cost of hedging it, yielding two sequences of weakly coupled systems of partial differential equations (PDEs): the pricing and utility systems. The utility systems are...
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Language: | en |
Published: |
2013
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Online Access: | http://hdl.handle.net/10012/7829 |