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    Hedging long-dated interest rate derivatives for Australian pension funds and life insurers

    Access Status
    Fulltext not available
    Authors
    Fergusson, Kevin
    Platen, E.
    Date
    2014
    Type
    Journal Article
    
    Metadata
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    Citation
    Fergusson, K. and Platen, E. 2014. Hedging long-dated interest rate derivatives for Australian pension funds and life insurers. Australian Journal of Actuarial Practice. 1: pp. 29-44.
    Source Title
    Australian Journal of Actuarial Practice
    Additional URLs
    http://search.informit.com.au/documentSummary;dn=780321386491104;res=IELBUS
    ISSN
    2203-2290
    School
    School of Science
    URI
    http://hdl.handle.net/20.500.11937/31772
    Collection
    • Curtin Research Publications
    Abstract

    Many pension funds and life insurers seek to hedge their exposure to low interest rates using long-dated interest rate derivatives. This paper extends an approach of Platen and Heath 2006 to price and hedge long-dated interest rate derivatives using a combination of Australian cash, bonds and equities and under a variety of market models. The results show the models under which the lowest cost hedge is achieved.

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