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Anne Mackay
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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
542017
Optimal surrender policy for variable annuity guarantees
C Bernard, A MacKay, M Muehlbeyer
Insurance: Mathematics and Economics 55, 116-128, 2014
532014
State-dependent fees for variable annuity guarantees
C Bernard, M Hardy, A MacKay
Astin Bulletin 44 (03), 559-585, 2014
512014
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
392017
VIX-linked fees for GMWBs via explicit solution simulation methods
MA Kouritzin, A MacKay
Insurance: Mathematics and Economics 81, 1-17, 2018
132018
Reducing surrender incentives through fee structure in variable annuities
C Bernard, A MacKay
Innovations in Quantitative Risk Management: TU München, September 2013, 209-223, 2015
132015
Fee Structure and Surrender Incentives in Variable Annuities
A MacKay
University of Waterloo, 2014
82014
Branching particle pricers with Heston examples
MA Kouritzin, A MacKay
International Journal of Theoretical and Applied Finance 23 (01), 2050003, 2020
72020
Optimization of small deviation for mixed fractional Brownian motion with trend
A MacKay, A Melnikov, Y Mishura
Stochastics 90 (7), 1087-1110, 2018
72018
Pricing and Hedging Equity-Linked Products under Stochastic Volatility Models
A MacKay
Concordia University, 2011
72011
Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality
P Gaillardetz, HY Li, A MacKay
European Actuarial Journal 2, 243-258, 2012
52012
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
A MacKay, MC Vachon, Z Cui
Quantitative Finance 23 (7-8), 1055-1078, 2023
42023
Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees
A MacKay, A Ocejo
Methodology and Computing in Applied Probability 24 (2), 1021-1049, 2022
42022
Price bounds in jump-diffusion markets revisited via market completions
A MacKay, A Melnikov
Recent Advances in Mathematical and Statistical Methods: IV AMMCS …, 2018
32018
On an Optimal Stopping Problem with a Discontinuous Reward
A Mackay, MC Vachon
arXiv preprint arXiv:2311.03538, 2023
12023
Best-Estimates in Bond Markets with Reinvestment Risk
A MacKay, MV Wüthrich
Risks 3 (3), 250-276, 2015
12015
A Unifying Approach for the Pricing of Debt Securities
MC Vachon, A Mackay
arXiv preprint arXiv:2403.06303, 2024
2024
Explicit solution simulation method for the 3/2 model
IR Kouarfate, MA Kouritzin, A MacKay
Advances in Probability and Mathematical Statistics: CLAPEM 2019, Mérida …, 2021
2021
Explicit solution simulation method for the 3/2 model
I René Kouarfate, MA Kouritzin, A MacKay
arXiv e-prints, arXiv: 2009.09058, 2020
2020
New Branching Filters With Explicit Negative Dependence
MA Kouritzin, A Mackay, N Vellone-Scott
IEEE Access 8, 157306-157321, 2020
2020
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Articles 1–20