portfolio theory to the pass-through topic, we show that replicating portfolio approaches are often equivalent to regression … approaches and that, under some assumptions, the classical regression approach corresponds to a replicating portfolio approach. …

portfolio theory to the pass-through topic, we show that replicating portfolio approaches, which are used mainly by smallbanks … corresponds to a replicating portfolio approach. …

portfolio theory to the pass-through topic, we show that replicating portfolio approaches, which are used mainly by smallbanks … corresponds to a replicating portfolio approach. …

The replicating portfolio approach is a well-established approach carried out by many life insurance companies within … replicating portfolio problem. In contrast to the two most popular replication approaches, it does not yield an analytic solution … the replicating portfolio equals the fair value of liabilities. Based on these insights, we argue that this unloved …

The replicating portfolio approach is a well-established approach carried out by many life insurance companies within … replicating portfolio problem. In contrast to the two most popular replication approaches, it does not yield an analytic solution … of the replicating portfolio equals the fair value of liabilities. Based on these insights, we argue that this unloved …

accounts. By constructing the replicating portfolio and simulating six scenarios for the market rate and client rates, we show …

accounts. By constructing the replicating portfolio and simulating six scenarios for the market rate and client rates, we show …