Optimal hedging of demographic risk in life insurance

DOI10.1007/s00780-012-0182-3zbMath1256.91032MaRDI QIDQ1936833

Ragnar Norberg

Publication date: 7 February 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-012-0182-3

zbMATH Keywords

mean-variance hedging; stochastic mortality; mortality derivatives; optimal design of derivatives

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G20: Derivative securities (option pricing, hedging, etc.)

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

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MULTI-STATE MODELLING OF CUSTOMER CHURN, Ragnar Norberg (1945–2017): an actuary of a unique kind, HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS, Risk-minimization for life insurance liabilities with basis risk, Quadratic hedging: an actuarial view extended to solvency control, Longevity risk, cost of capital and hedging for life insurers under Solvency II, Dependent interest and transition rates in life insurance, Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors

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