Quantile hedging pension payoffs: an analysis of investment incentives

DOI10.1007/S13385-017-0161-3zbMath1396.91306OpenAlexW2767505677MaRDI QIDQ1689028

Anne MacKay

Publication date: 12 January 2018

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-017-0161-3

zbMATH Keywords

quantile hedgingpension plan

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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• Market-Consistent Valuation and Funding of Cash Balance Pensions
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• Interest rate models -- theory and practice
• Credit risk: Modelling, valuation and hedging

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