Hedging long-dated interest rate derivatives for Australian pension funds and life insurers
| dc.contributor.author | Fergusson, Kevin | |
| dc.contributor.author | Platen, E. | |
| dc.date.accessioned | 2017-01-30T13:27:19Z | |
| dc.date.available | 2017-01-30T13:27:19Z | |
| dc.date.created | 2015-05-22T08:32:24Z | |
| dc.date.issued | 2014 | |
| dc.identifier.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. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/31772 | |
| dc.description.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. | |
| dc.publisher | Institute of Actuaries of Australia | |
| dc.relation.uri | http://search.informit.com.au/documentSummary;dn=780321386491104;res=IELBUS | |
| dc.subject | coupon bonds | |
| dc.subject | long-dated zero | |
| dc.subject | growth optimal portfolio | |
| dc.subject | benchmark approach | |
| dc.subject | minimal market model | |
| dc.title | Hedging long-dated interest rate derivatives for Australian pension funds and life insurers | |
| dc.type | Journal Article | |
| dcterms.source.volume | 1 | |
| dcterms.source.startPage | 29 | |
| dcterms.source.endPage | 44 | |
| dcterms.source.issn | 2203-2290 | |
| dcterms.source.title | Australian Journal of Actuarial Practice | |
| curtin.department | School of Science | |
| curtin.accessStatus | Fulltext not available |