  Hedging methods to mitigate the exposure of variable annuity products to
market risks require the calculation of market risk sensitivities (or
"Greeks"). The complex, path-dependent nature of these products means these
sensitivities typically must be estimated by Monte Carlo simulation. Standard
market practice is to measure such sensitivities using a "bump and revalue"
method. As well as requiring multiple valuations, such approaches can be
unreliable for higher order Greeks, e.g., gamma. In this article we investigate
alternative estimators implemented within an advanced economic scenario
generator model, incorporating stochastic interest-rates and stochastic equity
volatility. The estimators can also be easily generalized to work with the
addition of equity jumps in this model.
