Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness Under Model Risk

2016 ◽  
Author(s):  
Maciej Augustyniak
Keyword(s):  
Interest Rate ◽  
Interest Rate Risk ◽  
Model Risk ◽  
Variable Annuities ◽  
Hedging Effectiveness ◽  
Rate Risk

Balance-sheet interest rate risk: a weighted Lp approach

2018 ◽  
Vol 21 (1) ◽  
pp. 91-104 ◽  
Author(s):  
Leslaw Gajek ◽  
Elzbieta Krajewska
Keyword(s):  
Interest Rate ◽  
Balance Sheet ◽  
Interest Rate Risk ◽  
Rate Risk
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