Designing minimum guaranteed return funds

DOI10.1007/978-1-4419-9586-5_2MaRDI QIDQ4613809zbMATH OpenOpenAlexFDO

Authors Matteo Germano, E. A. Medova, Muriel I. Rietbergen, Francesco Sandrini, M. Scrowston, M. A. H. Dempster

Publication date 25 January 2019

Published in International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4419-9586-5_2

zbMATH Keywords

yield curvedynamic stochastic programmingasset and liability managementeconomic factor modelguaranteed returns

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Dynamic programming (90C39) Portfolio theory (91G10) Stochastic programming (90C15) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

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Cites work

• scientific article; zbMATH DE number 52648 (Why is no real title available?)
• scientific article; zbMATH DE number 1304957 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• Planning logistics operations in the oil industry
• Solving ALM problems via sequential stochastic programming

Cited in

(6)

• Designing minimum guaranteed return funds
• Minimum Rate of Return Guarantees: The Danish Case
• Minimum return guarantees, investment caps, and investment flexibility
• A robust asset-liability management framework for investment products with guarantees
• Pricing and hedging guaranteed returns on mix funds
• Pricing dynamic guaranteed funds with stochastic barrier under Vasicek interest rate model

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