portfolio. Although longevity swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay … is calibrated using Australian mortality data. The hedging of the life annuity portfolio is comprehensively assessed for … a range of assumptions for the longevity risk premium, the term to maturity of the hedging instruments, as well as the …

required capital, insurance companies are motivated to establish hedging strategies to mitigate the inherent risk exposures … approach. Using this efficient simulation method, we further investigate hedging strategies that utilize mortality …

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work … discusses the implications of using fund mapping regressions when the joint dynamics of the underlying and hedging assets is a …

We propose a way to compute the hedging Delta using the Malliavin weight method. Our approach, which we name the l …

Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity …

the empirical analysis is on the energy sector, which has been designated as one of the four key industries, together with … and gas industry is a separate energy-related major industry, and it is evaluated separately from energy. The data set is … empirical analysis, namely Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). The empirical findings indicate that Energy …

hedging and diversification performance against each economy. Many research lines can benefit investors, policymakers, fund …

Index-based hedging solutions are used to transfer the longevity risk to the capital markets. However, mismatches … between the liability of the hedger and the hedging instrument cause longevity basis risk. Therefore, an appropriate two …