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Hedging variable annuities: portfolio rebalancing frequency
Hedging variable annuities: portfolio rebalancing frequency This article examines how the choice ... choice of the rebalancing frequency in a variable annuity hedging program impacts hedging. rebalancing ...- Authors: Maciej Augustyniak, Mathieu Boudreault
- Date: Feb 2018
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Annuities
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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
Overview of data and models • Data: log-returns on the S&P 500 Total Return Index – Period: February 1956 ... in-the-money • The worst cumulative returns on the S&P 500 (TR) on a horizon of 10 years or less generally ...- Authors: Mathieu Boudreault, Maciej Augustyniak
- Date: Jan 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Annuities>Variable annuities; Finance & Investments