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postgraduate thesis: Semi-static hedging of guarantees in variable annuities under exponential lévy models
| Title | Semi-static hedging of guarantees in variable annuities under exponential lévy models |
|---|---|
| Authors | |
| Issue Date | 2010 |
| Publisher | The University of Hong Kong (Pokfulam, Hong Kong) |
| Citation | Pang, L. [彭朗峯]. (2010). Semi-static hedging of guarantees in variable annuities under exponential lévy models. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4357222 |
| Degree | Master of Philosophy |
| Subject | Variable annuities. Hedging (Finance) - Mathematical models. Risk management. |
| Dept/Program | Statistics and Actuarial Science |
| Persistent Identifier | http://hdl.handle.net/10722/56814 |
| HKU Library Item ID | b4357222 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Pang, Long-fung. | - |
| dc.contributor.author | 彭朗峯. | - |
| dc.date.issued | 2010 | - |
| dc.identifier.citation | Pang, L. [彭朗峯]. (2010). Semi-static hedging of guarantees in variable annuities under exponential lévy models. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4357222 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/56814 | - |
| dc.language | eng | - |
| dc.publisher | The University of Hong Kong (Pokfulam, Hong Kong) | - |
| dc.relation.ispartof | HKU Theses Online (HKUTO) | - |
| dc.rights | The author retains all proprietary rights, (such as patent rights) and the right to use in future works. | - |
| dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
| dc.source.uri | http://hub.hku.hk/bib/B43572224 | - |
| dc.subject.lcsh | Variable annuities. | - |
| dc.subject.lcsh | Hedging (Finance) - Mathematical models. | - |
| dc.subject.lcsh | Risk management. | - |
| dc.title | Semi-static hedging of guarantees in variable annuities under exponential lévy models | - |
| dc.type | PG_Thesis | - |
| dc.identifier.hkul | b4357222 | - |
| dc.description.thesisname | Master of Philosophy | - |
| dc.description.thesislevel | Master | - |
| dc.description.thesisdiscipline | Statistics and Actuarial Science | - |
| dc.description.nature | published_or_final_version | - |
| dc.identifier.doi | 10.5353/th_b4357222 | - |
| dc.date.hkucongregation | 2010 | - |
| dc.identifier.mmsid | 991028985809703414 | - |