Hedging Longevity Risk When Interest Rates are Uncertain
From MaRDI portal
Recommendations
- Hedging Mortality/Longevity Risks for Multiple Years
- Measuring Basis Risk in Longevity Hedges
- On the optimal hedge ratio in index-based longevity risk hedging
- HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS
- Hedging longevity risk: does the structure of the financial instrument matter?
- Recent declines in life expectancy: implication on longevity risk hedging
- Optimal dynamic longevity hedge with basis risk
- Basis risk in static versus dynamic longevity-risk hedging
- Hedging longevity risk in defined contribution pension schemes
- Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary
Cites work
- A theory of the term structure of interest rates
- Affine stochastic mortality
- Lee-Carter mortality forecasting with age-specific enhancement.
- Mortality modelling with Lévy processes
- On the optimal product mix in life insurance companies using conditional value at risk
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Valuation of contingent claims with mortality and interest rate risks
Cited in
(25)- Longevity risk and capital markets: the 2015--16 update
- De-risking strategy: longevity spread buy-in
- On the mortality/longevity risk hedging with mortality immunization
- Longevity risk and capital markets: the 2019--20 update
- On the optimal hedge ratio in index-based longevity risk hedging
- On the effectiveness of natural hedging for insurance companies and pension plans
- A feasible natural hedging strategy for insurance companies
- Key q-duration: a framework for hedging longevity risk
- Longevity hedge effectiveness: a decomposition
- Measuring Basis Risk in Longevity Hedges
- Application of relational models in mortality immunization
- Editorial: Longevity risk and capital markets: the 2013--14 update
- Longevity Risk and Capital Markets: The 2017–2018 Update
- Optimal longevity risk transfer and investment strategies
- Hedging longevity risk: does the structure of the financial instrument matter?
- An innovative design of flexible, bequest-enhanced life annuity with natural hedging
- Hedging Mortality/Longevity Risks for Multiple Years
- Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk
- HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS
- Longevity Risk and Capital Markets: The 2012–2013 Update
- Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds
- Pricing and hedging of longevity basis risk through securitisation
- Pension funds with longevity risk: an optimal portfolio insurance approach
- Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
- Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary
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