Centro de Documentación de Fundación MAPFRE - Dynamic hedging strategies for cash balance pension plans

MAP20180032011

Dynamic hedging strategies for cash balance pension plans / Xiaobai Zhu, Mary R. Hardy, David Saunders

Sumario: Cash 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

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 03/09/2018 Volumen 48 Número 3 - septiembre 2018 , p. 1245-1276

1. Productos financieros . 2. Planes de pensiones asociados . 3. Bonos . 4. Cálculo actuarial . 5. Mercado de valores . I. Hardy, Mary R. . II. Saunders, David . III. Title.