The impact of model risk when hedging equity-linked products and other investment guarantees is significant. We propose a model to determine the worst-case value of an equity-linked product through partial hedging. Risk control strategies based on conditional Value at Risk measures are used. The model integrates both mortality and financial risk associated with these products to find the worst-case value. We adopt robust optimization techniques to compute an optimal hedging strategy. To demonstrate versatility of the framework, numerical examples of point-to-point equity-indexed annuities are presented in multinomial lattice dynamics. We compare robustness of the model to super-replicating and quadratic hedging strategies by computing their capital requirements.

对冲股票挂钩产品和其他投资担保时，模型风险的影响很大。我们提出了一个模型，通过部分对冲来确定股票挂钩产品的最坏情况价值。使用基于条件风险价值度量的风险控制策略。该模型整合了与这些产品相关的死亡率和财务风险，以找到最坏情况下的价值。我们采用稳健的优化技术来计算最佳对冲策略。为了证明该框架的多功能性，点对点股权指数年金的数值示例以多项格动力学的形式呈现。我们通过计算资本要求，将模型的稳健性与超复制和二次对冲策略进行比较。