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 …

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 …

We investigate the impact of model uncertainty on hedging longevity risk with index-based derivatives and assessing … longevity basis risk, which arises from the mismatch between the hedging instruments and the portfolio being hedged. We apply … uncertainty of model selection into the modeling of longevity basis risk. The hedging results under this approach may …

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 …

basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort …