Anne MacKay

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation Quantitative Finance	2023-09-25	Paper
Explicit solution simulation method for the 3/2 model (available as arXiv preprint)	2022-10-07	Paper
Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees Methodology and Computing in Applied Probability	2022-07-07	Paper
Optimization of small deviation for mixed fractional Brownian motion with trend Stochastics	2022-07-05	Paper
Branching particle pricers with Heston examples International Journal of Theoretical and Applied Finance	2020-03-26	Paper
State-dependent fees for variable annuity guarantees ASTIN Bulletin	2020-02-05	Paper
Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model North American Actuarial Journal	2019-05-28	Paper
VIX-linked fees for GMWBs via explicit solution simulation methods Insurance Mathematics & Economics	2018-08-28	Paper
Quantile hedging pension payoffs: an analysis of investment incentives European Actuarial Journal	2018-01-12	Paper
Optimal surrender policy for variable annuity guarantees Insurance Mathematics & Economics	2014-09-22	Paper
Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality European Actuarial Journal	2013-02-05	Paper

Research outcomes over time

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