A comparative study of two-population models for the assessment of basis risk in longevity hedges (Q4563806)
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scientific article; zbMATH DE number 6880366
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| English | A comparative study of two-population models for the assessment of basis risk in longevity hedges |
scientific article; zbMATH DE number 6880366 |
Statements
A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES (English)
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4 June 2018
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stochastic morality
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longevity basis risk
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two-population mortality models
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hedge effectiveness
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index-based hedges
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0.8705672025680542
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0.8644219636917114
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0.8609043955802917
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0.8424875736236572
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0.8183661103248596
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