Anne MacKay

Available identifiers

zbMath Open mackay.anneMaRDI QIDQ743148

List of research outcomes

Publication	Date of Publication	Type
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation	2023-09-25	Paper
Explicit solution simulation method for the 3/2 model	2022-10-07	Paper
Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees	2022-07-07	Paper
Optimization of small deviation for mixed fractional Brownian motion with trend	2022-07-05	Paper
BRANCHING PARTICLE PRICERS WITH HESTON EXAMPLES	2020-03-26	Paper
STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES	2020-02-05	Paper
Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model	2019-05-28	Paper
VIX-linked fees for GMWBs via explicit solution simulation methods	2018-08-28	Paper
Quantile hedging pension payoffs: an analysis of investment incentives	2018-01-12	Paper
Optimal surrender policy for variable annuity guarantees	2014-09-22	Paper
Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality	2013-02-05	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Anne MacKay