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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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Inference for a Leptokurtic Symmetric Family of Distributions Represented by the Difference of Two Gamma Variates
random variable centered at 0 with scale paramter s is 1 1 + t2s2 . Hence, the classical Laplace distribution ... function equal to f(z;λ = 1, θ = s2) = 1 2s e−|z|/s. When λ = 1/n, n ∈ N, and θ = n, Kotz, Kozubowski ...- 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
models Maciej Augustyniak (U. Montreal) Joint work with Fre´de´ric Godin (U. Laval) and Clarence Simard ... hedging: most popular hedging approach ∂Option ∂S ·∆S ≈ ∆Option I Groundbreaking work due in great part ...- Authors: Maciej Augustyniak, Frédéric Godin, Clarence Simard
- Date: Mar 2017
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management
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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