Browsing University of Waterloo by Subject "dynamic hedging"

Now showing items 1-2 of 2

Dynamic Hedging Strategies for Cash Balance Pension Plans

Zhu, Xiaobai; Hardy, Mary; Saunders, David (Cambridge University Press, 2018-09)

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 ...
Risk Allocation in Hybrid Pension Plans

ZHU, XIAOBAI (University of Waterloo, 2019-09-18)

Three different hybrid designs are considered in this thesis. Chapter 1 studies the risk management of Cash Balance (CB) pension plans, which are the most popular hybrid plans in the U.S. We show that the simple delta and ...