Browsing University of Waterloo by Subject "dynamic hedging"
Now showing items 1-1 of 1
-
Risk Allocation in Hybrid Pension Plans
(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 ...