The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk (Q4563789)
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scientific article; zbMATH DE number 6880348
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| English | The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk |
scientific article; zbMATH DE number 6880348 |
Statements
THE LOCALLY LINEAR CAIRNS–BLAKE–DOWD MODEL: A NOTE ON DELTA–NUGA HEDGING OF LONGEVITY RISK (English)
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4 June 2018
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nuga hedging
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\(q\)-forwards
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state-space models
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the CBD model
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trend changes
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0.7914502024650574
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0.7884059548377991
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0.7753032445907593
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0.772853434085846
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