| 摘要 |
The present invention provides a method and system for determining hedging transactions to meet required characteristics of risks associated with an insurance instrument, and mitigating the risks associated with the insurance instrument by executing hedging transactions. The hedging transactions utilize dividend swap agreements to hedge first order dividend risk. In general, dividend swap derivative hedging encapsulates a dividend swap containing a payoff formula, which is a function of a notional amount, a sum of dividends payable between a start date and a end date, and a breakeven level of dividends.
|
