Pages that link to "Item:Q2513456"

The following pages link to Time-consistent mean-variance hedging of longevity risk: effect of cointegration (Q2513456):

Displaying 19 items.

• Dynamic cointegrated pairs trading: mean-variance time-consistent strategies (Q492113) (← links)
• Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank (Q894635) (← links)
• Optimal investment for insurers with the extended CIR interest rate model (Q1722131) (← links)
• Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk (Q1757605) (← links)
• Time-consistent longevity hedging with long-range dependence (Q2038218) (← links)
• Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting (Q2234757) (← links)
• Optimal dynamic longevity hedge with basis risk (Q2242224) (← links)
• A continuous-time stochastic model for the mortality surface of multiple populations (Q2273987) (← links)
• Optimal hedging with basis risk under mean-variance criterion (Q2364001) (← links)
• Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration (Q2374128) (← links)
• Robust dynamic pairs trading with cointegration (Q2417107) (← links)
• Inference pitfalls in Lee-Carter model for forecasting mortality (Q2520431) (← links)
• MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE (Q4563765) (← links)
• Basis risk in static versus dynamic longevity-risk hedging (Q4575469) (← links)
• Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration (Q4971976) (← links)
• Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know? (Q4987090) (← links)
• MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS (Q5150287) (← links)
• Basis risk modelling: a cointegration-based approach (Q5276179) (← links)
• DYNAMIC HEDGING OF LONGEVITY RISK: THE EFFECT OF TRADING FREQUENCY (Q5745193) (← links)