Quantile hedging pension payoffs: an analysis of investment incentives

DOI10.1007/S13385-017-0161-3MaRDI QIDQ1689028zbMATH OpenOpenAlexFDO

Authors Anne MacKay

Publication date 12 January 2018

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13385-017-0161-3

zbMATH Keywords

quantile hedgingpension plan

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 1642347 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• scientific article; zbMATH DE number 942202 (Why is no real title available?)
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• Efficient hedging: cost versus shortfall risk
• Interest rate models -- theory and practice
• Market-consistent valuation and funding of cash balance pensions
• On the shortfall risk control: a refinement of the quantile hedging method
• Partial hedging for defaultable claims
• Quantile hedging
• Quantile hedging and its application to life insurance
• Quantile hedging for defaultable securities in an incomplete market
• Quantile hedging for equity-linked contracts
• Quantile hedging for guaranteed minimum death benefits
• Quantile hedging on equity-linked life insurance contracts with transaction costs
• Risk Analysis in Finance and Insurance
• Stochastic calculus for finance. II: Continuous-time models.
• Term-structure models. A graduate course
• VaR-based optimal partial hedging

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