Dynamic hedging of longevity risk: the effect of trading frequency
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Recommendations
- Optimal dynamic longevity hedge with basis risk
- Basis risk in static versus dynamic longevity-risk hedging
- Forward mortality rates in discrete time. II: Longevity risk and hedging strategies
- Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
- Hedging Mortality/Longevity Risks for Multiple Years
Cites work
- A Universal Framework for Pricing Financial and Insurance Risks
- Affine processes for dynamic mortality and actuarial valuations
- Basis risk in static versus dynamic longevity-risk hedging
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Consistent dynamic affine mortality models for longevity risk applications
- scientific article; zbMATH DE number 1724299 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- Keeping some skin in the game: how to start a capital market in longevity risk transfers
- Key q-duration: a framework for hedging longevity risk
- Longevity hedge effectiveness: a decomposition
- Mathematical methods for financial markets.
- Measuring Basis Risk in Longevity Hedges
- Modeling and forecasting U.S. mortality. (With discussion)
- Modeling the forward surface of mortality
- Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
- On systematic mortality risk and risk-minimization with survivor swaps
- On the pricing of longevity-linked securities
- Securitization of catastrophe mortality risks
- Stochastic mortality under measure changes
- The recursive approach to time inconsistency
- The role of longevity bonds in optimal portfolios
- Time-consistent mean-variance hedging of longevity risk: effect of cointegration
- Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
Cited in
(12)- Gompertz law revisited: forecasting mortality with a multi-factor exponential model
- Longevity risk and capital markets: the 2019--20 update
- Optimal dynamic longevity hedge with basis risk
- Time-consistent mean-variance hedging of longevity risk: effect of cointegration
- An efficient method for mitigating longevity value-at-risk
- Forward mortality rates in discrete time. II: Longevity risk and hedging strategies
- Tail index-linked annuity: a longevity risk sharing retirement plan
- Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
- Coping with longevity via hedging: fair dynamic valuation of variable annuities
- Mean-variance asset-liability management: from surplus optimization to liability-driven investment
- Contract structure and risk aversion in longevity risk transfers
- Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
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