Abstract
This paper suggests a unified methodology for the management of Guaranteed Minimum Accumulation Benefit contracts. Using a non-Gaussian setting in line with manyof the stylized features observed in the market, we address the pricing, hedging, andrisk control of these contracts from an operational risk management perspective forpractitioners. Since the well-known and widely used delta-hedging ratio is not optimal,one of the most important problems raised is the issue of hedging. The literature suggests many theoretical solutions whose efficiency from a computational point of viewis controversial and rarely studied. From the empirical part of the paper, the authorsgive a simple rule for designing a hedging policy appropriate to the actual financialenvironment that proves useful both for insurers and regulators.
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