Basis risk in static versus dynamic longevity-risk hedging

DOI10.1080/03461238.2015.1134636zbMath1401.91129OpenAlexW3122034766MaRDI QIDQ4575469

Elisa Luciano, Luca Regis, Clemente de Rosa

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://www.carloalberto.org/assets/working-papers/no.425.pdf

zbMATH Keywords

longevity risklongevity swapslongevity bondscustomized vs. indexed hedgerebalancing frequency

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Mathematical geography and demography (91D20)

Related Items (13)

Mortality options: the point of view of an insurer ⋮ Stochastic mortality dynamics driven by mixed fractional Brownian motion ⋮ Continuous-time multi-cohort mortality modelling with affine processes ⋮ Cohort and value-based multi-country longevity risk management ⋮ GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS ⋮ Optimal dynamic longevity hedge with basis risk ⋮ Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk ⋮ DYNAMIC HEDGING OF LONGEVITY RISK: THE EFFECT OF TRADING FREQUENCY ⋮ Pricing and hedging of longevity basis risk through securitisation ⋮ Time-consistent longevity hedging with long-range dependence ⋮ A comparative study of pricing approaches for longevity instruments ⋮ Pension funds with longevity risk: an optimal portfolio insurance approach ⋮ Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know?

Cites Work

• Delta-gamma hedging of mortality and interest rate risk
• Time-consistent mean-variance hedging of longevity risk: effect of cointegration
• Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
• Understanding, modelling and managing longevity risk: key issues and main challenges
• Longevity hedge effectiveness: a decomposition
• On systematic mortality risk and risk-minimization with survivor swaps
• Measuring Basis Risk in Longevity Hedges
• A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES
• Delta, gamma and bucket hedging of interest rate derivatives

This page was built for publication: Basis risk in static versus dynamic longevity-risk hedging