Key q-duration: a framework for hedging longevity risk
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- A strategy for hedging risks associated with period and cohort effects using q-forwards
- Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk
- On the mortality/longevity risk hedging with mortality immunization
- A combined analysis of hedge effectiveness and capital efficiency in longevity hedging
- Longevity risk and capital markets: the 2019--20 update
- Optimal dynamic longevity hedge with basis risk
- On the optimal hedge ratio in index-based longevity risk hedging
- Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
- Age-specific copula-AR-GARCH mortality models
- Parametric mortality indexes: from index construction to hedging strategies
- It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk
- Longevity hedge effectiveness: a decomposition
- Measuring Basis Risk in Longevity Hedges
- The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk
- The optimal write-down coefficients in a percentage for a catastrophe bond
- Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models
- Application of relational models in mortality immunization
- Longevity Risk and Capital Markets: The 2017–2018 Update
- Longevity Greeks: what do insurers and capital market investors need to know?
- An efficient method for mitigating longevity value-at-risk
- Forward mortality rates in discrete time. I: Calibration and securities pricing
- Hedging Mortality/Longevity Risks for Multiple Years
- A DOUBLE COMMON FACTOR MODEL FOR MORTALITY PROJECTION USING BEST-PERFORMANCE MORTALITY RATES AS REFERENCE
- Natural hedges with immunization strategies of mortality and interest rates
- Applications of mortality durations and convexities in natural hedges
- A linear regression approach to modeling mortality rates of different forms
- The CBD Mortality Indexes: Modeling and Applications
- A cautionary note on natural hedging of longevity risk
- Dynamic hedging of longevity risk: the effect of trading frequency
- Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds
- Hedging longevity risk under non-Gaussian state-space stochastic mortality models: a mean-variance-skewness-kurtosis approach
- Longevity hedge effectiveness using socioeconomic indices
- Pricing and hedging of longevity basis risk through securitisation
- Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
- Coping with longevity via hedging: fair dynamic valuation of variable annuities
- Revisiting key mortality rate models: novel findings and application of CIR processes to describe mortality trends
- Method for forecasting mortality based on key rates
- Unraveling the time dynamics of life annuities
- Mortality models based on key mortality rates
- Excess of age transfer policy for life annuities under longevity risk
- Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary
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