s*****y
发帖数: 33 | 1 【 以下文字转载自 Actuary 讨论区 】
发信人: sprucey (Yspruce), 信区: Actuary
标 题: 急问：保险公司投资部门-问题求教!
发信站: BBS 未名空间站 (Tue Jan 13 18:02:07 2009)
保险公司做annuity 的部门下面一般会设有hedging department,哪位达人能帮忙解释一
下,在这个hedging department里边所用到的产品和投行里边用到的有什么不同，这个
部门
是不是出于投资的需要，也会自己trade一些exotic option呢？
听说现在annuity的产品大多数亏了很多钱，不知道这个市场的前景怎么样呢，这种部
门以
后是不是会稳定呢？ | h*****0
发帖数: 23 | 2 Variable annuities have some guaranteed benefits, such as GMWB, GMWB, GMDB,
and so on. They are imbeded derivatives, similar as put options. However,
they are not standardard European or American put options. Usually,
insurance companies use commercial actuarial software to calculate the value
and greeks, based on Monte Carlo methods. Static hedging is more common,
espcially in current volatile market. What they do is pure for hedging
purpose not for profit. This group is usually located in the |
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