Time-consistent longevity hedging with long-range dependence (Q2038218): Difference between revisions

@@ Property / cites work @@
+Affine Volterra processes
@@ Property / cites work: Affine Volterra processes / rank @@
+Normal rank
@@ Property / cites work @@
+Affine processes for dynamic mortality and actuarial valuations
+Normal rank
@@ Property / cites work @@
+Stochastic mortality under measure changes
@@ Property / cites work: Stochastic mortality under measure changes / rank @@
+Normal rank
@@ Property / cites work @@
+On time-inconsistent stochastic control in continuous time
+Normal rank
@@ Property / cites work @@
+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
+Normal rank
@@ Property / cites work @@
+Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
+Normal rank
@@ Property / cites work @@
+Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration
+Normal rank
@@ Property / cites work @@
+Basis risk in static versus dynamic longevity-risk hedging
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
+Normal rank
@@ Property / cites work @@
+Time-Inconsistent Stochastic Linear--Quadratic Control
+Normal rank
@@ Property / cites work @@
+Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
+Normal rank
@@ Property / cites work @@
+Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
+Normal rank
@@ Property / cites work @@
+The role of longevity bonds in optimal portfolios
@@ Property / cites work: The role of longevity bonds in optimal portfolios / rank @@
+Normal rank
@@ Property / cites work @@
+Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem
+Normal rank
@@ Property / cites work @@
+Volterra mortality model: actuarial valuation and risk management with long-range dependence
+Normal rank
@@ Property / cites work @@
+Time-consistent mean-variance asset-liability management with random coefficients
+Normal rank
@@ Property / cites work @@
+Time-consistent mean-variance hedging of longevity risk: effect of cointegration
+Normal rank
@@ Property / cites work @@
+MULTIVARIATE LONG-MEMORY COHORT MORTALITY MODELS
@@ Property / cites work: MULTIVARIATE LONG-MEMORY COHORT MORTALITY MODELS / rank @@
+Normal rank
@@ Property / cites work @@
+Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility
+Normal rank
@@ Property / cites work @@
+Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Completeness of security markets and solvability of linear backward stochastic differential equations
+Normal rank