Researchers from University of Toronto Report Recent Findings in Insurance Economics (Move-based hedging of variable annuities: A semi-analytic…

Researchers from University of Toronto Report Recent Findings in Insurance Economics (Move-based hedging of variable annuities: A semi-analytic approach)

By a News Reporter-Staff News Editor at Investment Weekly News -- New research on Economics - Insurance Economics is the subject of a report. According to news reporting from Toronto, Canada, by VerticalNews journalists, research stated, "In this paper, we propose a semi-analytic algorithm for measuring the mean and variance of the cost associated with a two-sided move-based hedging of options written on an underlying asset whose price follows a geometric Brownian motion."

Funders for this research include Committee on Knowledge Extension Research (CKER) of the Actuarial Foundation, Natural Sciences and Engineering Council of Canada.

The news correspondents obtained a quote from the research from the University of Toronto, "Numerical examples are presented to illustrate the computational accuracy and efficiency of the algorithm."

According to the news reporters, the research concluded: "We then apply the technique to a structured product-based variable annuity with buffered protection and an annual ratchet variable annuity."

For more information on this research see: Move-based hedging of variable annuities: A semi-analytic approach. Insurance Mathematics & Economics, 2016;71():40-49. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

Our news journalists report that additional information may be obtained by contacting X.S. Lin, University of Toronto, Dept. of Stat Sci, Toronto, ON M5S 3G3, Canada. Additional authors for this research include P.P. Wu and X. Wang.

Keywords for this news article include: Toronto, Ontario, Canada, North and Central America, Insurance Economics, Economics, Investment and Finance, University of Toronto.

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