IDEAS home Printed from https://ideas.repec.org/a/taf/uaajxx/v4y2000i2p63-74.html
   My bibliography  Save this article

Hedging and Reserving for Single-Premium Segregated Fund Contracts

Author

Listed:
  • Mary Hardy

Abstract

Three methods for determining suitable provision for maturity guarantees for single-premium segregated fund contracts are compared. Actuarial reserving assumes funds are held in risk-free assets, to give a prescribed probability of meeting the guarantee liability. Dynamic hedging uses the Black-Scholes framework to determine the replicating portfolio. Static hedging assumes a counterparty is willing to sell the options required to meet the guarantee. Using a stochastic cash flow projection, we consider how to assess which approach is most profitable. The example given assumes a typical Canadian segregated fund contract.

Suggested Citation

  • Mary Hardy, 2000. "Hedging and Reserving for Single-Premium Segregated Fund Contracts," North American Actuarial Journal, Taylor & Francis Journals, vol. 4(2), pages 63-74.
    • Handle: RePEc:taf:uaajxx:v:4:y:2000:i:2:p:63-74
    DOI: 10.1080/10920277.2000.10595903
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10920277.2000.10595903
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/10920277.2000.10595903?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Anne MacKay & Maciej Augustyniak & Carole Bernard & Mary R. Hardy, 2017. "Risk Management of Policyholder Behavior in Equity-Linked Life Insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(2), pages 661-690, June.
    2. Carbonneau, Alexandre, 2021. "Deep hedging of long-term financial derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 327-340.
    3. Alexandre Carbonneau, 2020. "Deep Hedging of Long-Term Financial Derivatives," Papers 2007.15128, arXiv.org.
    4. Kim Changki, 2005. "Surrender Rate Impacts on Asset Liability Management," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 1(1), pages 1-36, June.
    5. Gan, Guojun, 2013. "Application of data clustering and machine learning in variable annuity valuation," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 795-801.
    6. Hyounggun Song & Sung Kwon Han & Seung Hwan Jeong & Hee Soo Lee & Kyong Joo Oh, 2019. "Using Genetic Algorithms to Develop a Dynamic Guaranteed Option Hedge System," Sustainability, MDPI, vol. 11(15), pages 1-12, July.
    7. Daniel Doyle & Chris Groendyke, 2018. "Using Neural Networks to Price and Hedge Variable Annuity Guarantees," Risks, MDPI, vol. 7(1), pages 1-19, December.
    8. Bernard, Carole & Kwak, Minsuk, 2016. "Semi-static hedging of variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 173-186.
    9. Melnikov, Alexander & Tong, Shuo, 2014. "Quantile hedging on equity-linked life insurance contracts with transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 77-88.
    10. Lee, Yung-Tsung, 2015. "A Framework to Charge for Unit-Linked Contracts When Considering Guaranteed Risk," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(3), pages 495-509, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:uaajxx:v:4:y:2000:i:2:p:63-74. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/uaaj .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.