The Impact of Stochastic Volatility on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities

By Alexander Kling, Frederik Ruez, Jochen Russ. 2011

55 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/619770ac57d6ed4d2966eb8b5dbc61350bb4484e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Kenneth R. Vetzal
2. Peter A. Forsyth

In Economics and Econometrics

1. Peter A. Forsyth
2. Kenneth R. Vetzal
3. Alexander Schied
4. Steven Kou

In Finance

1. Peter A. Forsyth
2. Kenneth R. Vetzal
3. Jari Toivanen
4. Samuli Ikonen
5. S. Clift
6. George Labahn
7. Alexander Schied
8. Steven Kou

Citations in the corpus

• An optimal stochastic control framework for determining the cost of hedging of variable annuities (2014, background): “Some insurers were not60 effectively hedged, and large losses resulted (Kling et al., 2011).”