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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Systemic Impact on Financial Markets from the Hedging of Variable Annuities |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 84 |
| Date | 2018 |
| Abstract Text | In the last years, variable annuities, a life-insurance product, have assumed an increasing importance in the academic research. The purpose of this thesis is to analyse the systemic impact caused by the hedging of variable annuities. In order to provide an idea of the main features of this product, a review concerning variable annuities is proposed in the rst chapter. Moreover, in order to analyse the guarantees risk exposure, the same chapter presents Greeks. The second chapter deals with dynamic Delta hedging, with the aim to show the effectiveness of this strategy. In the last chapter, a review about systemic risk studies is presented, with a speci c focus on systemic risk in the insurance sector. In addition, in this last chapter, a theoretical answer to the main question of the thesis is provided. |
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