Anne MacKay

© UQAM | Service de l’audiovisuel, photographe : Émilie Tournevache, 2017.

Anne MacKay

Associate professor at Université de Sherbrooke, at the intersection of actuarial and financial mathematics

Research

Publications

  1. A. MacKay and A. Ocejo (2022) “Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees”, Methodology and Computing in Applied Probability, 24, 1021-1049.

  2. I. R. Kouarfate, M. A. Kouritzin, A. MacKay (2021) “Explicit solution simulation method for the 3/2 model”, in Advances in Probability and Mathematical Statistics, edited by K. Glau, M. Scherer and R.Zagst, Birkhaüser, Springer, 209 - 223. arXiv Journal link

  3. M. A. Kouritzin, A. MacKay, N. Vellone-Scott (2020)”New Branching Filters With Explicit Negative Dependence” IEEE Access 8, 157306-157321, doi: 10.1109/ACCESS.2020.3019226. Open access journal link

  4. M. A. Kouritzin, A. MacKay (2020) “Branching Particle Pricers with Heston Examples” International Journal of Theoretical and Applied Finance 23(1), 29 pages. arXiv Journal link

  5. A. MacKay, Y. Mishura and A. Melnikov (2018) “Optimization of small deviation for mixed fractional Brownian motion with trend” Stochastics 90(7), 1087-1110. arXiv Journal link

  6. M. A. Kouritzin, A. MacKay (2018) “VIX-linked fees for GMWBs via explicit solution simulation methods” Insurance: Mathematics and Economics 81 (July), 1-17. arXiv Journal link

  7. A. MacKay (2017) “Quantile hedging pension payoffs: an analysis of investment incentives” European Actuarial Journal, 7(2), 481–514. pdf Journal link

  8. A. MacKay and A. Melnikov (2017) “Price bounds in jump-diffusion markets revisited via market completions,” in Recent Advances in Mathematical and Statistical Methods for Scientific and Engineering Applications, edited by D. M.Kilgour, H. Kunze, R. Makarov, R. Melnik et X. Wang, Springer, Cham. Journal link

  9. Z. Cui, R. Feng, A. MacKay (2017) “Variable Annuities with VIX-linked Fee Structure under a Heston-type Stochastic Volatility Model” North American Actuarial Journal, 21(3), 458-481. pdf Journal link

  10. A. MacKay, M. Augustyniak, C. Bernard, M. R. Hardy (2017) “Risk Management of Policyholder Behavior in Equity-Linked Life Insurance” Journal of Risk and Insurance, 84(2): 661-690. pdf Journal link

  11. A. MacKay, M. V. Wüthrich (2015) “Best-Estimates in Bond Markets with Reinvestment Risk” Risks, 3(3): 250-276. Journal link

  12. C. Bernard, M. R. Hardy, A. MacKay (2014) “State-Dependent Fees for Variable Annuity Guarantees” ASTIN Bulletin, 44(3): 559-585. pdf Journal link

  13. C. Bernard, A. MacKay (2014) “Reducing Surrender Incentives through Fee Structure in Variable Annuities”, in Innovations in Quantitative Risk Management edited by K. Glau, M. Scherer and R.Zagst, Springer, 209 - 223. pdf

  14. C. Bernard, A. MacKay, M. Muehlbeyer (2014) “Optimal Surrender Policy for Variable Annuity Guarantees” Insurance: Mathematics and Economics, 55: 116-128. pdf Journal link

  15. P. Gaillardetz, H.Y. Li, A. MacKay (2012) “Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality” European Actuarial Journal, 2012, 2(2): 243-258. Journal link

Submitted and working papers

  1. Cui, Zhenyu, A. MacKay and Marie-Claude Vachon (2022): “Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation ”, submitted. arXiv

  2. Kouritzin, M. and A. MacKay (2022): “On stochastic approximation and option pricing”.

Ph.D thesis

A. MacKay, “Fee Structure and Surrender Incentives in Variable Annuities”, PhD Thesis, University of Waterloo, August 2014. Link

Masters thesis

A. MacKay, “Pricing and Hedging Equity-Linked Product under Stochastic Volatility Models”, 2011. Link