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Hedging Longevity Risk in Defined Contribution Pension Schemes
Agarwal, Ankush; Ewald, Christian-Oliver; Wang, Yongjie - 2021
Pension schemes all over the world are under increasing pressure to efficiently hedge longevity risk imposed by aging populations. In this work, we study an optimal investment problem for a defined contribution pension scheme that decides to hedge longevity risk using a mortality-linked...
Persistent link: https://www.econbiz.de/10013313096
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On increasing risk, inequality and poverty measures : peacocks, lyrebirds and exotic options
Ewald, Christian-Oliver; Yor, Marc - In: Journal of economic dynamics & control 59 (2015), pp. 22-36
Persistent link: https://www.econbiz.de/10011575052
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On the performance of the comonotonicity approach for pricing Asian options in some benchmark models from equities and commodities
Chen, Jilong; Ewald, Christian - In: Review of Pacific Basin financial markets and policies 20 (2017) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10011697161
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On the effects of changing mortality patterns on investment, labour and consumption under uncertainty
Ewald, Christian-Oliver; Zhang, Aihua - In: Insurance / Mathematics & economics 73 (2017), pp. 105-115
Persistent link: https://www.econbiz.de/10011702052
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On peacocks and lyrebirds : Australian options, Brownian bridges, and the average of submartingales
Ewald, Christian-Oliver; Yor, Marc - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 536-549
Persistent link: https://www.econbiz.de/10011969088
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On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter
Ewald, Christian-Oliver; Zhang, Aihua; Zong, Zhe - In: Application of operations research to financial markets, (pp. 119-130). 2019
Persistent link: https://www.econbiz.de/10012157367
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On the market-consistent valuation of fish farms : using the real option approach and salmon futures
Ewald, Christian-Oliver; Ouyang, Ruolan; Siu, Tak Kuen - In: American journal of agricultural economics 99 (2017) 1, pp. 207-224
Persistent link: https://www.econbiz.de/10011761182
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An analysis of the fish pool market in the context of seasonality and stochastic convenience yield
Ewald, Christian-Oliver; Ouyang, Ruolan - In: Marine resource economics 32 (2017) 4, pp. 431-449
Persistent link: https://www.econbiz.de/10011761821
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Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk
Ewald, Christian-Oliver; Zhang, Hai - In: Journal of economic dynamics & control 71 (2016), pp. 45-59
Persistent link: https://www.econbiz.de/10011708768
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Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield : do fish jump?
Ewald, Christian; Zou, Yihan - In: European journal of operational research : EJOR 294 (2021) 2, pp. 801-815
Persistent link: https://www.econbiz.de/10012595911