A strategy for hedging risks associated with period and cohort effects using q-forwards
DOI10.1016/J.INSMATHECO.2017.09.007zbMATH Open1398.91344OpenAlexW2760870430MaRDI QIDQ1697249FDOQ1697249
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
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Cites Work
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- Title not available (Why is that?)
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- Measuring Basis Risk in Longevity Hedges
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- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
- Longevity hedge effectiveness: a decomposition
- 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
- Delta-gamma hedging of mortality and interest rate risk
- Evaluating the goodness of fit of stochastic mortality models
- Evaluating the advanced life deferred annuity -- an annuity people might actually buy
- Real longevity insurance with a deductible: introduction to advanced-life delayed annuities (ALDA)
- Key q-duration: a framework for hedging longevity risk
- Longevity Risk and Capital Markets: The 2012–2013 Update
Cited In (10)
- Hedging longevity risk under non-Gaussian state-space stochastic mortality models: a mean-variance-skewness-kurtosis approach
- De-risking strategy: longevity spread buy-in
- Longevity Risk and Capital Markets: The 2017–2018 Update
- Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk
- Longevity risk and capital markets: the 2019--20 update
- Recent declines in life expectancy: implication on longevity risk hedging
- The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty
- Spatial natural hedging: a general framework with application to the mortality of U.S. states
- An efficient method for mitigating longevity value-at-risk
- A feasible natural hedging strategy for insurance companies
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