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Hedging variable annuities: portfolio rebalancing frequency
the last decade, many insurers have implemented dynamic hedging pro-grams to defend against market risks ... the last decade, many insurers have implemented dynamic hedging programs to defend against market risks ...- Authors: Maciej Augustyniak, Mathieu Boudreault
- Date: Feb 2018
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Annuities
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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 ... incomplete market of this derivative position with a dynamic hedging strategy and initial capital of V0 Maciej ...- 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
An out-of-sample analysis of investment guarantees for equity-linked products: Lessons from the financial ... left-tail analysis was presented as well as a dynamic hedging approach. From Actuarial Research ...- Authors: Mathieu Boudreault, Maciej Augustyniak
- Date: Jan 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Annuities>Variable annuities; Finance & Investments