Postgraduate Thesis: Semi-static hedging of guarantees in variable annuities under exponential lévy models

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TitleSemi-static hedging of guarantees in variable annuities under exponential lévy models
AuthorsPang, Long-fung.
彭朗峯.
Issue Date2010
PublisherThe University of Hong Kong (Pokfulam, Hong Kong)
DegreeMaster of Philosophy
SubjectVariable annuities.
Hedging (Finance) - Mathematical models.
Risk management.
Dept/ProgramStatistics and Actuarial Science
DOIhttp://dx.doi.org/10.5353/th_b4357222
DC Field
Value
dc.contributor.authorPang, Long-fung.
dc.contributor.author彭朗峯.
dc.date.hkucongregation2010
dc.date.issued2010
dc.description.naturepublished_or_final_version
dc.description.thesisdisciplineStatistics and Actuarial Science
dc.description.thesislevelmaster's
dc.description.thesisnameMaster of Philosophy
dc.identifier.doihttp://dx.doi.org/10.5353/th_b4357222
dc.identifier.hkulb4357222
dc.languageeng
dc.publisherThe University of Hong Kong (Pokfulam, Hong Kong)
dc.relation.ispartofHKU Theses Online (HKUTO)
dc.rightsThe author retains all proprietary rights, (such as patent rights) and the right to use in future works.
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License
dc.source.urihttp://hub.hku.hk/bib/B43572224
dc.subject.lcshVariable annuities.
dc.subject.lcshHedging (Finance) - Mathematical models.
dc.subject.lcshRisk management.
dc.titleSemi-static hedging of guarantees in variable annuities under exponential lévy models
dc.typePG_Thesis