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An out-of-sample analysis of investment guarantees for equity-linked products: Lessons from the financial crisis of the late-2000s
An out-of-sample analysis of investment guarantees for equity-linked products: Lessons from the financial ... financial crisis of the late-2000s This presentation provided an analysis of investment guarantees in equity-linked ...- Authors: Mathieu Boudreault, Maciej Augustyniak
- Date: Jan 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Annuities>Variable annuities; Finance & Investments
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Inference for a Leptokurtic Symmetric Family of Distributions Represented by the Difference of Two Gamma Variates
Leptokurtic Symmetric Family of Distributions Represented by the Difference of Two Gamma Variates In this ... introduce a family of leptokurtic symmetric distributions represented by the difference of two gamma variates ...- Authors: Louis G Doray, Maciej Augustyniak
- Date: Nov 2010
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Modeling & Statistical Methods>Stochastic models; Technology & Applications>Business intelligence
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Assessing the Effectiveness of Local and Global Quadratic Hedging under GARCH Models
Assessing the Effectiveness of Local and Global Quadratic Hedging under GARCH Models This presentation ... presentation investigates the empirical and practical relevance of local and global risk-minimization. quadratic ...- Authors: Maciej Augustyniak, Frédéric Godin, Clarence Simard
- Date: Mar 2017
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management
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Hedging variable annuities: portfolio rebalancing frequency
rebalancing frequency This article examines how the choice of the rebalancing frequency in a variable annuity ... impacts hedging. rebalancing frequency;hedging;risk management;variable annuities 6442483530 2/1/2018 ...- Authors: Maciej Augustyniak, Mathieu Boudreault
- Date: Feb 2018
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Annuities