Quantile hedging for guaranteed minimum death benefits

Yumin Wang

Insurance: Mathematics and Economics, 2009, vol. 45, issue 3, 449-458

Abstract: Quantile hedging for contingent claims is an active topic of research in mathematical finance. It plays a role in incomplete markets when perfect hedging is not possible. Guaranteed minimum death benefits (GMDBs) are present in many variable annuity contracts, and act as a form of portfolio insurance. They cannot be perfectly hedged due to the mortality component, except in the limit as the number of contracts becomes infinitely large. In this article, we apply ideas from finance to derive quantile hedges for these products under various assumptions.

Keywords: Quantile; hedging; Variable; annuities; GMDBs; Stochastic; control (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (7)

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