Corpus ID: 199453071

Risk-Control Strategies

@article{Gaillardetz2019RiskControlS,
  title={Risk-Control Strategies},
  author={Patrice Gaillardetz and Saeb El Hachem},
  journal={arXiv: Risk Management},
  year={2019}
}
In this paper, we consider the pricing of derivative products that involve dynamic hedging strategies and payments within the planning horizon. Equity-indexed annuities (EIAs), Guaranteed investment certificate (GIC), American and Barrier options are typical examples of these products. Our exploration involves evaluation under different assumptions related to the way the risk is tailored by the issuer. The unified constrained discrete stochastic dynamic programming framework presented in this… Expand
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