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Dynamic hedging strategies for cash balance pension plans

Recurso electrónico / Electronic resource
MARC record
Tag12Value
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
24510‎$a‎Dynamic hedging strategies for cash balance pension plans‎$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
7001 ‎$0‎MAPA20080653552‎$a‎Hardy, Mary R.
7001 ‎$0‎MAPA20120021242‎$a‎Saunders, David
7730 ‎$w‎MAP20077000420‎$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