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Hedging of variable annuities under basis risk
Bauer, Jan
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Dokumenttyp:
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Präsentation auf Konferenz
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Erscheinungsjahr:
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2019
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Veranstaltungstitel:
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Asia-Pacific Risk and Insurance Association 23rd Annual Conference 2019
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Veranstaltungsort:
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Seoul, South Korea
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Veranstaltungsdatum:
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28.-31.07.2019
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Sprache der Veröffentlichung:
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Englisch
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Einrichtung:
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Außerfakultäre Einrichtungen > Institut für Versicherungswissenschaft
Fakultät für Betriebswirtschaftslehre > ABWL, Risikotheorie, Portfolio Management u. Versicherungswissenschaft (Albrecht 1989-2021)
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Fachgebiet:
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330 Wirtschaft
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Fachklassifikation:
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JEL:
G13 , G22 , G32,
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Freie Schlagwörter (Englisch):
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Variable Annuities , Hedging , Basis Risk
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Abstract:
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I study dynamic hedging for variable annuities under basis risk. Basis risk, which arises from the imperfect correlation between the underlying fund and the proxy asset used for hedging, has a highly negative impact on the hedging performance. I investigate whether the choice of a suitable hedging strategy can help to reduce the risk for the insurance company. Comparing several cross-hedging strategies that only trade in the proxy asset, I observe very similar hedging performances. Particularly, I find that well-established but complex strategies from mathematical finance do not outperform simple and naive approaches. Nonetheless, a naive delta-gamma hedge, which additionally uses plain vanilla options on the proxy asset, performs better than all tested one-instrument strategies. A more substantial risk reduction could, however, be achieved by diversification.
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 Suche Autoren in
BASE:
Bauer, Jan
Google Scholar:
Bauer, Jan
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