DYNAMIC HEDGING STRATEGIES FOR CASH BALANCE PENSION PLANS

DOI10.1017/ASB.2018.9MaRDI QIDQ4691254zbMATH OpenOpenAlexFDO

Authors Xiaobai Zhu, David Saunders, Mary R. Hardy

Publication date 19 October 2018

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/asb.2018.9

zbMATH Keywords

cash balance pensiondynamic hedgingHull-White model

Mathematics Subject Classification ID

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Cites work

• Actuarial mathematics for life contingent risks
• Guaranteed Annuity Options
• Interest rate models -- theory and practice
• Market-consistent valuation and funding of cash balance pensions
• PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
• The DB underpin hybrid pension plan

Cited in

(6)

• Valuation of a DB underpin hybrid pension under a regime-switching Lévy model
• Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic
• Market-consistent valuation and funding of cash balance pensions
• scientific article; zbMATH DE number 7326167 (Why is no real title available?)
• Signature-based validation of real-world economic scenarios
• Cashflow-driven investment beyond expectations

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