Concepedia

Liability Hedging

Liability Hedging is an investment strategy within the field of asset-liability management that specifically aims to mitigate the risk of underperformance of a portfolio relative to its future liability obligations by aligning asset duration and cash flow characteristics with those of the liabilities.

13

Publications

401

Citations

28

Authors

25

Institutions

Publications per year

2017–2026

4

Parents

Publications

13

Liability-Relative Investing II

M. Barton Waring · The Journal of Portfolio Management · 2004 · 60 citations

, , +16

Dynamic asset liability management with tolerance for limited shortfalls

Jérôme Detemple, Marcel Rindisbacher · Insurance Mathematics and Economics · 2008 · 57 citations

, , +13

Semi-Static Hedging for GMWB in Variable Annuities

Adam W. Kolkiewicz, Yan Liu · North American Actuarial Journal · 2012 · 47 citations

, , +12

Natural Hedging of Life and Annuity Mortality Risks

Samuel H. Cox, Yijia Lin · North American Actuarial Journal · 2007 · 36 citations · Full text

, , +15

Quadratic Hedging Methods for Defaultable Claims

Francesca Biagini, Alessandra Cretarola · Applied Mathematics & Optimization · 2007 · 33 citations

, , +9

1–5 of 13

Authors

28

  1. AT
    Andreas Tsanakas

    City, University of London, United Kingdom

    2 publications · 30 citations

    2

    h-index

  2. KB
    Karim Barigou

    KU Leuven, Belgium

    2 publications · 43 citations

    2

    h-index

  3. YL
    Yan Liu

    Shanghai Jiao Tong University, China

    1 publications · 47 citations

    1

    h-index

  4. MV
    Mario V. Wüthrich

    ETH Zurich, Switzerland

    1 publications · 17 citations

    1

    h-index

  5. SP
    Stavros Panageas

    National Bureau of Economic Research, United States

    1 publications · 30 citations

    1

    h-index

1–5 of 28

Institutions

25

  1. City, University of London

    London, United Kingdom

    2 h-index

    3 publications

    47 citations

  2. University of Toronto

    Toronto, Canada

    2 h-index

    3 publications

    91 citations

  3. Center for Interuniversity Research and Analysis on Organizations

    Montreal, Canada

    1 h-index

    2 publications

    114 citations

  4. Université Claude Bernard Lyon 1

    Villeurbanne, France

    1 h-index

    1 publications

    13 citations

  5. ETH Zurich

    Zurich, Switzerland

    1 h-index

    1 publications

    17 citations

  6. University of California, Los Angeles

    Los Angeles, United States

    1 h-index

    1 publications

    30 citations

  7. Massachusetts Institute of Technology

    Cambridge, United States

    1 h-index

    1 publications

    30 citations

  8. University of Manitoba

    Winnipeg, Canada

    1 h-index

    1 publications

    36 citations

1–8 of 25

Venues

  1. Astin Bulletin

    4 publications · 77 citations

    4

    h-index

  2. North American Actuarial Journal

    NAAJ · 2 publications · 83 citations

    2

    h-index

  3. The Journal of Investing

    1 publications · 12 citations

    1

    h-index

  4. Applied Mathematics & Optimization

    1 publications · 33 citations

    1

    h-index

  5. SSRN Electronic Journal

    Repository · 1 publications · 30 citations

    1

    h-index

1–5