Hedging Mortality/Longevity Risks for Multiple Years
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Recommendations
- Hedging Longevity Risk When Interest Rates are Uncertain
- HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS
- Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary
- On the mortality/longevity risk hedging with mortality immunization
- Constructing out-of-the-money longevity hedges using parametric mortality indexes
- Forward mortality rates in discrete time. II: Longevity risk and hedging strategies
- Recent declines in life expectancy: implication on longevity risk hedging
- Time-consistent longevity hedging with long-range dependence
- Measuring Basis Risk in Longevity Hedges
- Natural hedging of life and annuity mortality risks
Cites work
- A Bühlmann credibility approach to modeling mortality rates
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- A linear regression approach to modeling mortality rates of different forms
- Age-specific copula-AR-GARCH mortality models
- Applications of mortality durations and convexities in natural hedges
- Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary
- If we can simulate it, we can insure it: an application to longevity risk management
- Incorporating the Bühlmann credibility into mortality models to improve forecasting performances
- Key q-duration: a framework for hedging longevity risk
- Longevity risk in pension annuities with exchange options: the effect of product design
- Measuring Basis Risk in Longevity Hedges
- Modeling and forecasting mortality rates
- Modeling and forecasting U.S. mortality. (With discussion)
- Mortality risk modeling: applications to insurance securitization
- On age-period-cohort parametric mortality rate projections
- On stochastic mortality modeling
- On the effectiveness of natural hedging for insurance companies and pension plans
- On the mortality/longevity risk hedging with mortality immunization
- Quantifying mortality risk in small defined-benefit pension schemes
- Securitization, structuring and pricing of longevity risk
- Systematic and nonsystematic mortality risk in pension portfolios
- The role of longevity bonds in optimal portfolios
Cited in
(20)- The choice of trigger in an insurance linked security: the mortality risk case
- Optimal hedging of demographic risk in life insurance
- Longevity risk and capital markets: the 2019--20 update
- Optimal dynamic longevity hedge with basis risk
- Mortality options: the point of view of an insurer
- Longevity hedge effectiveness: a decomposition
- Hedging Longevity Risk When Interest Rates are Uncertain
- Measuring Basis Risk in Longevity Hedges
- Hedging annuity risks with the age-period-cohort two-population gravity model
- Forward mortality rates in discrete time. II: Longevity risk and hedging strategies
- Natural hedging of life and annuity mortality risks
- Relative hedging of systematic mortality risk
- Redistribution of longevity risk: the effect of heterogeneous mortality beliefs
- Cohort and value-based multi-country longevity risk management
- HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS
- Dynamic hedging of longevity risk: the effect of trading frequency
- Natural hedging in long-term care insurance
- Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds
- Spatial natural hedging: a general framework with application to the mortality of U.S. states
- Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary
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