Dynamic hedging strategies for cash balance pension plans
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20180032011 | ||
| 003 | MAP | ||
| 005 | 20181122110427.0 | ||
| 008 | 181119e20180903gbr|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a345 | ||
| 100 | $0MAPA20180014604$aZhu, Xiaobai | ||
| 245 | 1 | 0 | $aDynamic hedging strategies for cash balance pension plans$cXiaobai Zhu, Mary R. Hardy, David Saunders |
| 520 | $aCash balance pension plans with crediting rates linked to long bond yields are relatively common in the United States, but their liabilities are proving very challenging to hedge. In this paper, we consider dynamic hedge strategies using the one-factor and two-factor Hull White models, based on results for the liability valuation from Hardy et al. (2014). The strategies utilise simple hedge portfolios combining one or two zero-coupon bonds, and a money market account. | ||
| 650 | 4 | $0MAPA20080603182$aProductos financieros | |
| 650 | 4 | $0MAPA20080624682$aPlanes de pensiones asociados | |
| 650 | 4 | $0MAPA20080538279$aBonos | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080586317$aMercado de valores | |
| 700 | 1 | $0MAPA20080653552$aHardy, Mary R. | |
| 700 | 1 | $0MAPA20120021242$aSaunders, David | |
| 773 | 0 | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g03/09/2018 Volumen 48 Número 3 - septiembre 2018 , p. 1245-1276 |