@article{ART001854207},
author={송창길 and Chang Soo Lee and Hur Yeon},
title={A Study on Natural Hedging Effect to the Risk of Portfolio in Equity-Indexed Annuity and Minimum Guarantees of Variable Annuity},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2014},
volume={25},
number={1},
pages={75-107}
TY - JOUR
AU - 송창길
AU - Chang Soo Lee
AU - Hur Yeon
TI - A Study on Natural Hedging Effect to the Risk of Portfolio in Equity-Indexed Annuity and Minimum Guarantees of Variable Annuity
JO - Journal of Insurance and Finance
PY - 2014
VL - 25
IS - 1
PB - Korea Insurance Research Institute
SP - 75
EP - 107
SN - 2384-3209
AB - Since its introduction to Korean market in 2002, variable annuity has recorded fast growth and has become one of the typical annuity products. However, there is a need for more expert knowledge and research on the risk management of the guaranteed minimum option that characterizes variable annuity compared to competing financial products.
In this study, we suggest using equity-indexed annuity as a risk management tool for the guaranteed minimum option of variable annuity, because Ratchet option of the equity indexed annuity provides a natural hedging effect to the GMAB option of the variable annuity. Specifically, simultaneous sales of equity-indexed annuity and variable annuity products can bring a natural hedging effect to the whole portfolio. As a result of this natural hedging effect, required amount of reserves and capital can be reduced. In addition, this study shows that insurers can save costs of dynamic hedging and consequently improve profitability using this kind of portfolio.
KW - Variable annuity;Equity Indexed annuity;Guaranteed Minimum Option;Natural Hedging;Dynamic Hedging
DO -
UR -
ER -
송창길, Chang Soo Lee and Hur Yeon. (2014). A Study on Natural Hedging Effect to the Risk of Portfolio in Equity-Indexed Annuity and Minimum Guarantees of Variable Annuity. Journal of Insurance and Finance, 25(1), 75-107.
송창길, Chang Soo Lee and Hur Yeon. 2014, "A Study on Natural Hedging Effect to the Risk of Portfolio in Equity-Indexed Annuity and Minimum Guarantees of Variable Annuity", Journal of Insurance and Finance, vol.25, no.1 pp.75-107.
송창길, Chang Soo Lee, Hur Yeon "A Study on Natural Hedging Effect to the Risk of Portfolio in Equity-Indexed Annuity and Minimum Guarantees of Variable Annuity" Journal of Insurance and Finance 25.1 pp.75-107 (2014) : 75.
송창길, Chang Soo Lee, Hur Yeon. A Study on Natural Hedging Effect to the Risk of Portfolio in Equity-Indexed Annuity and Minimum Guarantees of Variable Annuity. 2014; 25(1), 75-107.
송창길, Chang Soo Lee and Hur Yeon. "A Study on Natural Hedging Effect to the Risk of Portfolio in Equity-Indexed Annuity and Minimum Guarantees of Variable Annuity" Journal of Insurance and Finance 25, no.1 (2014) : 75-107.
송창길; Chang Soo Lee; Hur Yeon. A Study on Natural Hedging Effect to the Risk of Portfolio in Equity-Indexed Annuity and Minimum Guarantees of Variable Annuity. Journal of Insurance and Finance, 25(1), 75-107.
송창길; Chang Soo Lee; Hur Yeon. A Study on Natural Hedging Effect to the Risk of Portfolio in Equity-Indexed Annuity and Minimum Guarantees of Variable Annuity. Journal of Insurance and Finance. 2014; 25(1) 75-107.
송창길, Chang Soo Lee, Hur Yeon. A Study on Natural Hedging Effect to the Risk of Portfolio in Equity-Indexed Annuity and Minimum Guarantees of Variable Annuity. 2014; 25(1), 75-107.
송창길, Chang Soo Lee and Hur Yeon. "A Study on Natural Hedging Effect to the Risk of Portfolio in Equity-Indexed Annuity and Minimum Guarantees of Variable Annuity" Journal of Insurance and Finance 25, no.1 (2014) : 75-107.
