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BlackScholes
05-16-2009, 04:23 AM
is there a survey about common practice of dynamic hedge of GLB in variable annuity industry?
how often they rebalance hedge portfolio? dose it depend on Greek hedged? Thanks.

RocBoys
05-16-2009, 11:41 AM
Common practice? Its more like secrets! Some structured products divisions of ibanks hedge these for the annuity industry. Some prefer hedging at regular predetermined times, some prefer hedging only when the slippage(positive or negative) exceeds a certain level. Some simply buy ratchets or cliquets with levels set at whatever levels the manager thinks are acceptable.

JMO
05-18-2009, 09:20 AM
Also, try soa.org and use the search function - look for dynamic hedge.