The Risk Management of Minimum Return Guarantees
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World Scientific Publishing Co. Pte. Ltd..
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- Nielsen, J. Aase & Sandmann, Klaus & Schlögl, Erik, 2011. "Equity-linked pension schemes with guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 547-564.
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- repec:fau:fauart:v:67:y:2017:i:4:p:342-369 is not listed on IDEAS
More about this item
Keywordsminimum return guarantee; defined-contribution pension plans; life-insurance; uncertain volatility; conservative pricing; robust hedging; model misspecification; model risk;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-08-16 (All new papers)
- NEP-FIN-2004-08-16 (Finance)
- NEP-RMG-2004-08-16 (Risk Management)
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