Emmanuel Hamel

Laval University - Ecole d’Actuariat, Students

PhD Candidate

Canada

SCHOLARLY PAPERS

3

DOWNLOADS

158

SSRN CITATIONS

4

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Local Hedging of Variable Annuities in the Presence of Basis Risk

Number of pages: 37 Posted: 07 Jul 2017
Laval University, Faculté d'Administration, Département de Finance et Assurance, Students, Concordia University, Quebec - Department of Mathematics & Statistics and Laval University - Ecole d’Actuariat, Students
Downloads 105 (262,516)
Citation 2

Abstract:

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Basis Risk, Hedging, Segregated Funds, Variable Annuities, Risk Measures, Risk Management, Regime-Switching Models

2.

On Fund Mapping Regressions Applied to Segregated Funds Hedging Schemes under Regime-Switching Dynamics

Number of pages: 22 Posted: 14 Apr 2018 Last Revised: 21 Jul 2018
Laval University, Faculté d'Administration, Département de Finance et Assurance, Students, Concordia University, Quebec - Department of Mathematics & Statistics and Laval University - Ecole d’Actuariat, Students
Downloads 30 (478,437)
Citation 2

Abstract:

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Basis Risk, Hedging, Segregated Funds, Variable Annuities, Risk Measures, Risk Management, Regime-Switching Models

3.

A Mixed Bond and Equity Fund Model for the Valuation of Segregated Fund Policies

Number of pages: 43 Posted: 12 Nov 2019
Maciej Augustyniak, Frédéric Godin and Emmanuel Hamel
University of Montreal - Department of Mathematics and Statistics, Concordia University, Quebec - Department of Mathematics & Statistics and Laval University - Ecole d’Actuariat, Students
Downloads 23 (516,327)

Abstract:

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mutual fund model, bond fund, yield curve, investment guarantee, variable annuities, basis risk