Hedging Long-Dated Interest Rate Derivatives for Australian Pension Funds and Life Insurers

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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Year of publication:	2015
Authors:	Fergusson, Kevin
Other Persons:	Platen, Eckhard (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Australien \| Australia \| Lebensversicherung \| Life insurance \| Hedging \| Pensionskasse \| Pension fund \| Derivat \| Derivative \| Zinsderivat \| Interest rate derivative \| Optionspreistheorie \| Option pricing theory \| Portfolio-Management \| Portfolio selection

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Extent:	1 Online-Ressource (16 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Australian Journal of Actuarial Practice 2014, 1, 29-44 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 26, 2014 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

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