Anne Mackay
Title
Cited by
Cited by
Year
Risk Management of Policyholder Behavior in Equity‐Linked Life Insurance
A MacKay, M Augustyniak, C Bernard, MR Hardy
Journal of Risk and Insurance 84 (2), 661-690, 2017
322017
State-dependent fees for variable annuity guarantees
C Bernard, M Hardy, A MacKay
Astin Bulletin 44 (03), 559-585, 2014
302014
Optimal surrender policy for variable annuity guarantees
C Bernard, A MacKay, M Muehlbeyer
Insurance: Mathematics and Economics 55, 116-128, 2014
262014
Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model
Z Cui, R Feng, A MacKay
North American Actuarial Journal 21 (3), 458-483, 2017
172017
Reducing surrender incentives through fee structure in variable annuities
C Bernard, A MacKay
Innovations in Quantitative Risk Management, 209-223, 2015
82015
Fee Structure and Surrender Incentives in Variable Annuities
A MacKay
University of Waterloo, 2014
62014
Branching Particle Pricers with Heston Examples
MA Kouritzin, A MacKay
arXiv preprint arXiv:1907.00219, 2019
52019
VIX-linked fees for GMWBs via explicit solution simulation methods
MA Kouritzin, A MacKay
Insurance: Mathematics and Economics 81, 1-17, 2018
52018
Optimization of small deviation for mixed fractional Brownian motion with trend
A MacKay, A Melnikov, Y Mishura
Stochastics 90 (7), 1087-1110, 2018
42018
Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality
P Gaillardetz, HY Li, A MacKay
European Actuarial Journal 2 (2), 243-258, 2012
42012
Pricing and Hedging Equity-Linked Products under Stochastic Volatility Models
A MacKay
Concordia University, 2011
42011
Explicit solution simulation method for the 3/2 model
IR Kouarfate, MA Kouritzin, A MacKay
arXiv preprint arXiv:2009.09058, 2020
2020
New branching filters with explicit negative dependence
MA Kouritzin, A Mackay, N Vellone-Scott
IEEE Access, 2020
2020
Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees
A MacKay, A Ocejo
Available at SSRN 3486858, 2019
2019
Quantile hedging pension payoffs: an analysis of investment incentives
A MacKay
European Actuarial Journal 7 (2), 481-514, 2017
2017
Price Bounds in Jump-Diffusion Markets Revisited via Market Completions
A MacKay, A Melnikov
International Conference on Applied Mathematics, Modeling and Computational†…, 2017
2017
Best-Estimates in Bond Markets with Reinvestment Risk
A MacKay, MV WŁthrich
Risks 3 (3), 250-276, 2015
2015
Fixed and Variable Payout Annuities: How Optimal are “Optimal” Strategies?
A MacKay
2014
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Articles 1–18