A strategy for hedging risks associated with period and cohort effects using q-forwards

DOI10.1016/J.INSMATHECO.2017.09.007MaRDI QIDQ1697249zbMATH OpenOpenAlexFDO

Authors Yan-Xin Liu, Johnny Siu-Hang Li

Publication date 15 February 2018

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11343/220014

zbMATH Keywords

longevity riskindex-based longevity hedgesmodel M7q-forwards

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
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• Evaluating the goodness of fit of stochastic mortality models
• Key q-duration: a framework for hedging longevity risk
• Longevity Risk and Capital Markets: The 2012–2013 Update
• Longevity hedge effectiveness: a decomposition
• Measuring Basis Risk in Longevity Hedges
• Modeling and pricing longevity derivatives using stochastic mortality rates and the Esscher transform
• Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
• On systematic mortality risk and risk-minimization with survivor swaps
• Real longevity insurance with a deductible: introduction to advanced-life delayed annuities (ALDA)
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach
• Valuation and hedging of life insurance liabilities with systematic mortality risk

Cited in

(10)

• Longevity Risk and Capital Markets: The 2017–2018 Update
• Hedging longevity risk under non-Gaussian state-space stochastic mortality models: a mean-variance-skewness-kurtosis approach
• Spatial natural hedging: a general framework with application to the mortality of U.S. states
• Longevity risk and capital markets: the 2019--20 update
• Recent declines in life expectancy: implication on longevity risk hedging
• An efficient method for mitigating longevity value-at-risk
• Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk
• De-risking strategy: longevity spread buy-in
• A feasible natural hedging strategy for insurance companies
• The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty

Describes a project that uses

Uses Software

• Human Mortality
• StMoMo

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