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Fourier-Cosine Method for Pricing and Hedging Insurance Derivatives
Fédération de Mathématiques de CentraleSupélec, Université Paris-Saclay, Paris, France
Dipartimento di Management, Università Politecnica delle Marche, Ancona, Italy
China Institute for Actuarial Science, Central University of Finance and Economics, Beijing, China
Dipartimento di Scienze Economiche e Statistiche, Università di Udine, Udine, Italy
- 1 Fédération de Mathématiques de CentraleSupélec, Université Paris-Saclay, Paris, France
- 2 Dipartimento di Management, Università Politecnica delle Marche, Ancona, Italy
- 3 China Institute for Actuarial Science, Central University of Finance and Economics, Beijing, China
- 4 Dipartimento di Scienze Economiche e Statistiche, Università di Udine, Udine, Italy
Theoretical Economics Letters·Volume 08 (2018)·Pages 282–291·Published 7 February 2018·DOI10.4236/tel.2018.83020
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Abstract
We introduce the Fourier-Cosine method for pricing and hedging insurance derivatives. We implement this method for a particular problem of variable annuities under the Black-Scholes model for the investment account. The numerical results show the reliability of the Fourier-Cosine method for pricing and hedging insurance derivatives.
KeywordsFourier-CosinePricingHedgingInsuranceDerivatives
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