DYNAMIC HEDGING STRATEGIES FOR CASH BALANCE PENSION PLANS

DOI10.1017/asb.2018.9zbMath1416.91230OpenAlexW2808398587MaRDI QIDQ4691254

David Saunders, Xiaobai Zhu, 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

dynamic hedgingHull-White modelcash balance pension

Mathematics Subject Classification ID

Related Items (2)

LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC ⋮ Valuation of a DB underpin hybrid pension under a regime-switching Lévy model

Cites Work

• Unnamed Item
• PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
• Guaranteed Annuity Options
• The DB Underpin Hybrid Pension Plan
• Market-Consistent Valuation and Funding of Cash Balance Pensions
• Interest rate models -- theory and practice

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