Optimal hedging of demographic risk in life insurance

DOI10.1007/s00780-012-0182-3zbMath1256.91032OpenAlexW2044075761MaRDI 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 hedgingstochastic mortalitymortality derivativesoptimal design of derivatives

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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

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