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Robust Risk-Minimizing Hedging Strategies
1 −−− 2 −−−− 3 −−− −−−−− 4 −−−−−−−−− 5 − 6 − 17/35 Objective functions • Stochastic programming: ... constraints LiT−1 (XiT−1 , ziT−1 ,ZiT−1 ) ≤ emax , (17) fiT−1 (XiT−1 ) = ziT−1 . (18) And for all t = T ...- Authors: PATRICE GAILLARDETZ
- Date: Feb 2024
- Publication Name: Actuarial Research Clearing House
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Consistent Pricing for Equity-Linked Products
Consistent Pricing for Equity-Linked Products This paper discusses the binominal financial ... Unit-Linked Life Insurance Contracts”. Astin Bulletin, 28, 17-47. - Wang, S. (1998). “Aggregation of Correlated ...- Authors: Xiaodong Sheldon Lin, PATRICE GAILLARDETZ
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Loaded Participation Rates For Equity-Indexed Annuities
Contingencies 2002 (January-February): 34-38. [17] Lee, Hangsuck. 2003. Pricing equity-indexed annuities ... Insurance: Mathematics and Economics 25 (3): 337347. 17 −4 −2 0 2 4 0. 00 0. 02 0. 04 0. 06 0. 08 ...- Authors: PATRICE GAILLARDETZ, Youssef Joe Lakhmiri
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Annuities>Equity-indexed annuities; Annuities>Pricing - Annuities; Modeling & Statistical Methods>Stochastic models