It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk (Q2520457): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(4 intermediate revisions by 4 users not shown)
Property / describes a project that uses
 
Property / describes a project that uses: Human Mortality / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.07.001 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2474711401 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Coherent mortality forecasting with generalized linear models: a modified time-transformation approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bootstrapping the Poisson log-bilinear model for mortality forecasting / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging / rank
 
Normal rank
Property / cites work
 
Property / cites work: Longevity hedge effectiveness: a decomposition / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts / rank
 
Normal rank
Property / cites work
 
Property / cites work: On systematic mortality risk and risk-minimization with survivor swaps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuation and hedging of life insurance liabilities with systematic mortality risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Detecting Common Longevity Trends by a Multiple Population Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Gravity Model of Mortality Rates for Two Related Populations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Common mortality modeling and coherent forecasts. An empirical analysis of worldwide mortality data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modelling longevity bonds: analysing the Swiss Re Kortis bond / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modelling Adult Mortality in Small Populations: The Saint Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling and Forecasting U.S. Mortality / rank
 
Normal rank
Property / cites work
 
Property / cites work: Measuring Basis Risk in Longevity Hedges / rank
 
Normal rank
Property / cites work
 
Property / cites work: Key Q-Duration: A Framework for Hedging Longevity Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE LOCALLY LINEAR CAIRNS–BLAKE–DOWD MODEL: A NOTE ON DELTA–NUGA HEDGING OF LONGEVITY RISK / rank
 
Normal rank
Property / cites work
 
Property / cites work: Delta-gamma hedging of mortality and interest rate risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Mortality: The Impact on Target Capital / rank
 
Normal rank
Property / cites work
 
Property / cites work: Editorial: Longevity risk and capital markets: the 2013--14 update / rank
 
Normal rank
Property / cites work
 
Property / cites work: Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing and securitization of multi-country longevity risk with mortality dependence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 03:40, 13 July 2024

scientific article
Language Label Description Also known as
English
It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk
scientific article

    Statements

    It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk (English)
    0 references
    0 references
    0 references
    13 December 2016
    0 references
    0 references
    0 references
    0 references
    0 references
    coherent mortality forecasting
    0 references
    index-based longevity hedges
    0 references
    multi-population mortality models
    0 references
    q-forwards
    0 references
    state-space models
    0 references
    0 references