The simulation of the dynamic hedging of guaranteed equity bonds issued by a South African life office

This dissertation illustrates how in-house dynamic hedging could be evaluated through modeling, simulation and sensitivity testing. The illustration helps to illuminate the financial benefits and associated risks of dynamic hedging, but does not provide a specific conclusion on whether dynamic hedging shoul be implemented. Ultimately this decision will depend on the unique circumstances and strategic objecitves of the life office. The scope of the dissertation is thus limited to an illustration and discussion of the relevant issues only and specifically does not cover the costing of in-house dynamically hedged guarantees.

Grantor dc:publisher.institution

School of Management Studies

Year dc:date.issued

2001

Author dc:creator

• Schoonees, Cornelius

Advisor dc:contributor.advisor

• Dorrington, Rob

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/4393

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/4393