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 …

applied to the conventional deep hedging training algorithm so as to enable obtaining a price through a single training run … for the two neural networks associated with the respective long and short hedging strategies. The accuracy of the neural …

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 …

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

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 …

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

improved robustness in terms of correlation structures and hedging performance, offering a new perspective on treating cross …