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Couvertures et variable annuities

Articles scientifiques

BAUER D.; KLING A.; RUSS J. [2007] "A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities", proceedings of the 18th AFIR colloquium

COLEMAN T. F., LI Y.; PATRON M., [2006] "Hedging Guarantees in Variable Annuities (Under Both Market and Interest Rate Risks)'', Insurance: Mathematics and Economics , vol 38, pp. 215-228

COLEMAN T. F.; KIM Y.; LI Y.; PATRON M. [2007] "Robustly Hedging Variable Annuities with Guarantees Under Jump and Volatility Risks", Journal of Risk and Insurance , Vol 74, pp 347-376.

DAI M.; KWOK Y.K.; ZONG J. [2008] "Guaranteed Minimum Withdrawal Benefit in Variable Annuities", University of Singapore, Workin Paper.

JOHANNESEN J.M.; MØLLER T. [2009] "Dynamic programming and efficient hedging for unit-linked insurance contracts", Working Paper

NTKEUKAM O.; PLANCHET F.; THEROND P. [2009] "Optimal strategies of hedging portfolio of unit-linked life insurance contracts with minimum death guarantee", , Insurance: Mathematics and Economics, Volume 48, Issue 2, pp. 161-175.

Mémoires d'actuariat (plus de références)

BERGONZA A.; CAZALS F. [2006] Garanties en cas de vie sur contrats multisupports, mémoire ENSAE

GAUTHIER A. [2008] Impact d’une réallocation d’actifs sur une garantie plancher en cas de vie dans des contrats investis en unités de compte, mémoire ISFA

GIBOT C. [2010] Les garanties de revenus temporaires et viagères (GMWB et GLWB) dans les contrats d’assurance vie multisupports, mémoire CEA

JIMENEZ M. [2009] Variable Annuities: the GMxB guarantees and the GMWB's optimal surrender behaviour, mémoire ISFA

LEDLIE M. C. ; CORRY D. P.; FINKELSTEIN G. S.; RITCHIE A. J.; SU K.; WILSON D. C. E. [2008] Variable annuities, Institute of Actuaries

LE VALLOIS F. [1999] Couverture par quantiles, mémoire ENSAE

PALERM T. [2006] Tarification de garanties plancher en cas de vie, mémoire CEA

TCHEMCHIROVA L. [2008] Variable annuities : calcul des Provisions et du Capital, mémoire ULP

Présentations

HAIDER N.; SUN P.; MASON C.; BHANDULA R. [2009] "F1–Trends in VA Product Development and Hedging Strategy", Investment Symposium, SOA.

Supports de cours

MELNIKOV A. Hedging methodologies in equity-linked life insurance, University of Alberta

PLANCHET F. [2009] Garanties "plancher" sur les contrats en unités de comptet, ISFA

TANKOV P. [2008] Calibration de modèles et couverture de produits dérivés, Université Paris 7

Publications de l'EIOPA

EIOPA [2011] Draft Report on Variable Annuities, Consultation Paper n°83

Sur internet

SEC :

http://www.sec.gov/investor/pubs/varannty.htm

SOA

http://annuitysystems.com/extras/SOA_VAHedgingSurvey.pdf

AXA :

http://www.axa-equitable.com/annuities/variable-annuities.html
http://www.axa.com/lib/axa/uploads/presentationsinvestisseurs/2005/20052103_CSFB_Risk_Mgt.pdf

MILLIMAN :

http://www.milliman.com/perspective/articles/hedging-variable-annuity-guarantees-mgin07-01-04.php
http://www.milliman.com/perspective/articles/variable-annuity-market-japan-mgin08-01-06.php
http://europe.milliman.com/perspective/published-articles/pdfs/des-produits-qui-garantissent-4-1-08.pdf
http://www.articlearchives.com/insurance/insurance-policies-claims-insurance-annuities/2237403-1.html

WATSON :

http://www.watsonwyatt.com/europe/pubs/insurancefinancial/render2.asp?ID=18204

Le marché :

http://www.annuityfyi.com/