An efficient method for mitigating longevity value-at-risk
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Recommendations
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Cites work
- A class of invariant consistent tests for multivariate normality
- A general procedure for constructing mortality models
- A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
- A step-by-step guide to building two-population stochastic mortality models
- A strategy for hedging risks associated with period and cohort effects using q-forwards
- Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- Dynamic hedging of longevity risk: the effect of trading frequency
- Financial data and the skewed generalized t distribution
- scientific article; zbMATH DE number 1983901 (Why is no real title available?)
- It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk
- Lee-Carter mortality forecasting with age-specific enhancement.
- Longevity Greeks: what do insurers and capital market investors need to know?
- Measuring Basis Risk in Longevity Hedges
- Modeling and forecasting U.S. mortality. (With discussion)
- Modeling period effects in multi-population mortality models: applications to Solvency II
- Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
- Mortality-dependent financial risk measures
- On the mortality/longevity risk hedging with mortality immunization
- On the pricing of longevity-linked securities
- Sharing longevity risk: why governments should issue longevity bonds
- Statistical Applications of the Multivariate Skew Normal Distribution
- Stochastic Mortality: The Impact on Target Capital
- Stochastic portfolio specific mortality and the quantification of mortality basis risk
- The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk
- Understanding, modelling and managing longevity risk: key issues and main challenges
Cited in
(7)- A combined analysis of hedge effectiveness and capital efficiency in longevity hedging
- Longevity risk and capital markets: the 2019--20 update
- Using particle swarm optimization and genetic algorithms for optimal control of non-linear fractional-order chaotic system of cancer cells
- Hedging longevity risk under non-Gaussian state-space stochastic mortality models: a mean-variance-skewness-kurtosis approach
- Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
- Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
- Computational framework for longevity risk management
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