David Saunders

University of Waterloo

200 University Avenue West

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

11

DOWNLOADS

669

SSRN CITATIONS

6

CROSSREF CITATIONS

3

Scholarly Papers (11)

1.

Regress Under Stress: A Simple Least-Squares Method for Integrating Economic Scenarios with Risk Simulations

Number of pages: 31 Posted: 08 Dec 2015 Last Revised: 05 Apr 2016
Dan Rosen and David Saunders
Fields Institute and University of Waterloo
Downloads 287 (130,917)

Abstract:

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Stress testing, regression

2.

Epstein-Zin Preferences in Life-Cycle Applications: Uncertain Lifetime and Consumption Smoothing

Number of pages: 22 Posted: 18 Oct 2018
Saisai Zhang, Mary R. Hardy and David Saunders
University of Waterloo, University of Waterloo and University of Waterloo
Downloads 90 (344,015)
Citation 3

Abstract:

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Life-Cycle Investing, Epstein-Zin Preferences, Uncertain Lifetime, Consumption Smoothing, Elasticity of Intertemporal Substitution

3.

Updating Wilkie's Economic Scenario Generator for U.S. Applications

Number of pages: 40 Posted: 21 Sep 2017 Last Revised: 16 Dec 2017
Saisai Zhang, Mary R. Hardy and David Saunders
University of Waterloo, University of Waterloo and University of Waterloo
Downloads 89 (346,387)

Abstract:

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Economic Scenario Generators

4.

Price of Liquidity in the Reinsurance of Fund Returns

Number of pages: 34 Posted: 12 Jan 2021
David Saunders, Luis A. Seco and Markus Senn
University of Waterloo, University of Toronto and Technical University Munich
Downloads 47 (480,596)

Abstract:

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first-loss, hedge funds, liquidation barrier, portfolio downside protection, portfolio reinsurance

5.

Optimal Investment Strategies for Participating Contracts

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 43 Posted: 06 Feb 2017
Hongcan Lin, David Saunders and Chengguo Weng
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo and University of Waterloo
Downloads 45 (489,131)
Citation 4

Abstract:

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participating contract; utility maximization; martingale and dual approach; concavification technique; stochastic control

6.

Structure of Intergenerational Risk-Sharing Plans: Optimality and Fairness

Number of pages: 40 Posted: 06 Aug 2020
Xiaobai Mike Zhu, Mary R. Hardy and David Saunders
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo and University of Waterloo
Downloads 40 (511,722)

Abstract:

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Pension plans; Intergenerational Risk Sharing; Ergodic Control

7.

Valuation of a Early Exercise Defined Benefit (DB) Underpin Hybrid Pension Benefit

Number of pages: 34 Posted: 20 Dec 2017
Xiaobai Mike Zhu, Mary R. Hardy and David Saunders
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo and University of Waterloo
Downloads 38 (521,169)

Abstract:

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Pension Risk Management, Optimal Exercise

8.

Maximum Spectral Measures of Risk with Given Risk Factor Marginal Distributions

Number of pages: 26 Posted: 02 Dec 2020
Mario Ghossoub, Jesse Hall and David Saunders
University of Waterloo, University of Waterloo and University of Waterloo
Downloads 20 (627,494)

Abstract:

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Spectral risk measure, Expected shortfall, Dependence uncertainty, Optimal transport, Monge-Kantorovich duality.

9.

On the Continuity of the Feasible Set Mapping in Optimal Transport

Number of pages: 7 Posted: 21 Oct 2020
Mario Ghossoub and David Saunders
University of Waterloo and University of Waterloo
Downloads 11 (693,372)
Citation 1

Abstract:

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Optimal transport, Measures on product spaces with fixed marginals, Continuity of correspondences on spaces of measures, Matching with transferable utility, Assignment game, Hedonic pricing

10.

The Price of Liquidity in the Reinsurance of Fund Returns

Journal of Investment Strategies, Vol. 9, No. 3, 2021
Number of pages: 32 Posted: 28 Apr 2021
David Saunders, Luis A. Seco and Markus Senn
University of Waterloo, University of Toronto and Technical University Munich
Downloads 2 (765,308)
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Abstract:

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first loss; hedge funds; liquidation barrier; portfolio downside protection; portfolio reinsurance.

11.

Worst-Case Copulas, Mass Transportation and Wrong-Way Risk in Counterparty Credit Risk Management

Posted: 31 Mar 2013
Amir Memartoluie, David Saunders and Tony S. Wirjanto
Independent, University of Waterloo and University of Waterloo - School of Accounting and Finance

Abstract:

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Conterparty Credit Risk, Wrong-way Risk, Mass Transportation