Fourier-Cosine Method for Pricing and Hedging Insurance Derivatives - Theoretical Economics Letters

TEL > Vol.8 No.3, February 2018

Theoretical Economics Letters

Volume 8, Issue 3 (February 2018)

ISSN Print: 2162-2078 ISSN Online: 2162-2086

Google-based Impact Factor: 1.19 Citations h5-index & Ranking

Fourier-Cosine Method for Pricing and Hedging Insurance Derivatives ()

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Download as PDF (Size: 291KB) PP. 282-291

DOI: 10.4236/tel.2018.83020 721 Downloads 1,654 Views

Author(s)

Ludovic Goudenège¹, Andrea Molent², Xiao Wei³, Antonino Zanette⁴

Affiliation(s)

¹Fédération de Mathématiques de CentraleSupélec, Université Paris-Saclay, Paris, France.
²Dipartimento di Management, Università Politecnica delle Marche, Ancona, Italy.
³China Institute for Actuarial Science, Central University of Finance and Economics, Beijing, China.
⁴Dipartimento di Scienze Economiche e Statistiche, Università di Udine, Udine, Italy.

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.

KEYWORDS

Fourier-Cosine, Pricing, Hedging, Insurance, Derivatives

Share and Cite:

Goudenège, L. , Molent, A. , Wei, X. and Zanette, A. (2018) Fourier-Cosine Method for Pricing and Hedging Insurance Derivatives. Theoretical Economics Letters, 8, 282-291. doi: 10.4236/tel.2018.83020.

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