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Valuation and Hedging of Variable Annuities in Pension Schemes
A.L. Bovenberg
, S. van Bilsen, R.J.A. Laeven
Economics
Research Group: Economics
Center Ph. D. Students
Research output
:
Working paper
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Keyphrases
Hedging
100%
Pension Scheme
100%
Variable Annuity
100%
Insurer
66%
Nominal Interest Rate
66%
Policyholders
66%
Annuity
66%
Financial Assets
33%
Real Interest Rates
33%
Incomplete Markets
33%
Hedge Portfolio
33%
Expected Inflation
33%
Market Risk
33%
Market-consistent Valuation
33%
Equity Risk Premia
33%
Complete Contract
33%
Liability-driven Investment
33%
Intertemporal Hedging
33%
Stochastic Variation
33%
Economics, Econometrics and Finance
Hedging
100%
Nominal Interest Rate
100%
Financial Market
50%
Real Interest Rate
50%
Inflation Expectations
50%