THE LOCALLY LINEAR CAIRNS–BLAKE–DOWD MODEL: A NOTE ON DELTA–NUGA HEDGING OF LONGEVITY RISK

DOI10.1017/asb.2016.33zbMath1390.91198OpenAlexW2553693313MaRDI QIDQ4563789

Johnny Siu-Hang Li, Yanxin Liu

Publication date: 4 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2016.33

zbMATH Keywords

state-space models\(q\)-forwardsnuga hedgingthe CBD modeltrend changes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Mathematical geography and demography (91D20)

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Uses Software

• astsa

Cites Work

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