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Financial Engineering Workshop - Benoit Vaucher (EDHEC Scientific Analytics)
Online Event
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Abstract
For insurers, the profitability of variable annuity contracts depends heavily on the hedging schemes used to mitigate their associated financial liabilities. Compared to traditional delta hedging, the inclusion of protective put options in annuity hedging portfolios was shown to deliver better profitability, while reducing risk. We show that beyond financial performance, protective puts also increase economic profitability by reducing the capital charges imposed on the insurer. Although this external source of profit strongly affect the total performance of the hedge, it was never quantified in the literature. We will give a short introduction to the challenge of hedging long-term protection and present some results on the interplay between hedging and capital charges. Finally we will discuss where our research is going next.
Bio
Benoit Vaucher is the head of research at EDHEC Scientific Analytics, a new venture of the EDHEC. He was previously head of quantitative solutions at Syz AM (Oyster funds) and portfolio manager at LOIM where he managed institutional portfolios. Ben has published papers on portfolio management, equity factor investing and more recently variable annuity hedging. He holds a PhD from Oxford University in theoretical physics applied to Quantum Computing.
The Financial Engineering Workshop will take place online via Microsoft Teams.
For the link to the online seminar please register before 2pm on the day of the seminar otherwise you will not be given access.
Where
Online Event
Online Event