Código QR (código de barras bidimensional)

On Fund Mapping Regressions Applied to Segregated Funds Hedging Under Regime-Switching Dynamics

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from the imperfect correlation between the underlying fund and it...

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Principais autores: Denis-Alexandre Trottier, Frédéric Godin, Emmanuel Hamel
Format: Artigo
Sprog:Inglês
Udgivet: MDPI AG 2018-08-01
Serier:Risks
Fag:
basis risk
hedging
segregated funds
variable annuities
risk measures
risk management
regime-switching
Online adgang:http://www.mdpi.com/2227-9091/6/3/78
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