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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
462017
State-dependent fees for variable annuity guarantees
C Bernard, M Hardy, A MacKay
Astin Bulletin 44 (03), 559-585, 2014
452014
Optimal surrender policy for variable annuity guarantees
C Bernard, A MacKay, M Muehlbeyer
Insurance: Mathematics and Economics 55, 116-128, 2014
412014
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
302017
Reducing surrender incentives through fee structure in variable annuities
C Bernard, A MacKay
Innovations in Quantitative Risk Management, 209-223, 2015
102015
Branching particle pricers with Heston examples
MA Kouritzin, A MacKay
International Journal of Theoretical and Applied Finance 23 (01), 2050003, 2020
62020
Fee Structure and Surrender Incentives in Variable Annuities
A MacKay
University of Waterloo, 2014
62014
Pricing and Hedging Equity-Linked Products under Stochastic Volatility Models
A MacKay
Concordia University, 2011
62011
Optimization of small deviation for mixed fractional Brownian motion with trend
A MacKay, A Melnikov, Y Mishura
Stochastics 90 (7), 1087-1110, 2018
52018
VIX-linked fees for GMWBs via explicit solution simulation methods
MA Kouritzin, A MacKay
Insurance: Mathematics and Economics 81, 1-17, 2018
52018
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
Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees
A MacKay, A Ocejo
Methodology and Computing in Applied Probability, 1-29, 2022
22022
Price Bounds in Jump-Diffusion Markets Revisited via Market Completions
A MacKay, A Melnikov
International Conference on Applied Mathematics, Modeling and Computational …, 2017
12017
Best-Estimates in Bond Markets with Reinvestment Risk
A MacKay, MV Wüthrich
Risks 3 (3), 250-276, 2015
12015
Explicit solution simulation method for the 3/2 model
IR Kouarfate, MA Kouritzin, A MacKay
Advances in Probability and Mathematical Statistics, 123-145, 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
Quantile hedging pension payoffs: an analysis of investment incentives
A MacKay
European Actuarial Journal 7 (2), 481-514, 2017
2017
Fixed and Variable Payout Annuities: How Optimal are “Optimal” Strategies?
A MacKay
2014
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