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Inflation modelling for long-term liability driven investments
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Division of Actuarial Science
2016
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| _version_ | 1867613972231880704 |
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| access_status_str | Open Access |
| author | De Kock, Justin |
| author2 | Mollentz, Greg |
| author_browse | De Kock, Justin Mollentz, Greg |
| author_facet | Mollentz, Greg De Kock, Justin |
| author_sort | De Kock, Justin |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/18602 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:44:38.279Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/18602 Inflation modelling for long-term liability driven investments De Kock, Justin Mollentz, Greg McWalter, Tom Actuarial Science Includes bibliographical references. A regime-switching model allows a process to switch randomly between different regimes which have different parameter estimates. This study investigates the use of a two regime-switching model for inflation in South Africa as a means of determining a hedging strategy for inflation linked liabilities of a financial institution. Each regime is modeled using an autoregressive process with different parameters and the change in regimes is governed by a two state Markov chain. Once the parameters have been estimated, the predictive validity of the regime-switching process as a model for inflation in South Africa is tested and a hedging strategy is outlined for a set of inflation linked cash flows. The hedging strategy is to invest in inflation linked bonds, the number of which is determined through the use of a Rand-per-point methodology that is applied to the inflation linked cash flows and inflation linked bonds. Over the period from January 2008 to June 2013 this hedging strategy was shown to be profitable. 2016-04-05T11:42:31Z 2016-04-05T11:42:31Z 2014 Master Thesis Masters MPhil http://hdl.handle.net/11427/18602 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Actuarial Science De Kock, Justin Inflation modelling for long-term liability driven investments |
| thesis_degree_str | Master's |
| title | Inflation modelling for long-term liability driven investments |
| title_full | Inflation modelling for long-term liability driven investments |
| title_fullStr | Inflation modelling for long-term liability driven investments |
| title_full_unstemmed | Inflation modelling for long-term liability driven investments |
| title_short | Inflation modelling for long-term liability driven investments |
| title_sort | inflation modelling for long term liability driven investments |
| topic | Actuarial Science |
| url | http://hdl.handle.net/11427/18602 |
| work_keys_str_mv | AT dekockjustin inflationmodellingforlongtermliabilitydriveninvestments |