Application of Relational Models in Mortality Immunization

DOI10.1080/10920277.2018.1462715zbMath1411.91273OpenAlexW2180223159WikidataQ129159100 ScholiaQ129159100MaRDI QIDQ4633994

Xinying Liang, Cary Chi-Liang Tsai

Publication date: 7 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://summit.sfu.ca/item/15714

Mathematics Subject Classification ID

Related Items (1)

Longevity risk and capital markets: the 2019--20 update

Cites Work

• Modeling and Forecasting U.S. Mortality
• On the optimal product mix in life insurance companies using conditional value at risk
• The role of longevity bonds in optimal portfolios
• On the mortality/longevity risk hedging with mortality immunization
• On the effectiveness of natural hedging for insurance companies and pension plans
• Actuarial applications of the linear hazard transform in mortality immunization
• Key Q-Duration: A Framework for Hedging Longevity Risk
• Longevity hedge effectiveness: a decomposition
• Hedging Longevity Risk When Interest Rates are Uncertain
• Measuring Basis Risk in Longevity Hedges
• Natural Hedging of Life and Annuity Mortality Risks
• Applications of Mortality Durations and Convexities in Natural Hedges
• A Linear Regression Approach to Modeling Mortality Rates of Different Forms

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