Hedging long-dated interest rate derivatives for Australian pension funds and life insurers

Kevin John Fergusson, Eckhard Platen

Research output: Contribution to journalArticleResearchpeer-review

Abstract

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.
Original languageEnglish
Pages (from-to)29-44
JournalAustralian Journal of Actuarial Practice
Volume1
Publication statusPublished - Jan 2014
Externally publishedYes

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