On the mortality/longevity risk hedging with mortality immunization
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Publication:2015624
DOI10.1016/J.INSMATHECO.2013.08.006zbMATH Open1290.91093OpenAlexW2032858882MaRDI QIDQ2015624FDOQ2015624
Authors: Tzuling Lin, Cary Chi-Liang Tsai 
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.08.006
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Cites Work
- Modeling and forecasting U.S. mortality. (With discussion)
- Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach
- On stochastic mortality modeling
- Measuring Basis Risk in Longevity Hedges
- Longevity hedge effectiveness: a decomposition
- Natural hedging of life and annuity mortality risks
- On the optimal product mix in life insurance companies using conditional value at risk
- Mortality risk modeling: applications to insurance securitization
- The role of longevity bonds in optimal portfolios
- On age-period-cohort parametric mortality rate projections
- Hedging Longevity Risk When Interest Rates are Uncertain
- Longevity risk in pension annuities with exchange options: the effect of product design
- Estimating the term structure of mortality
- On the Fisher-Weil immunization theorem
- Immunization of multiple liabilities
- On Redington's theory of immunization
- Key q-duration: a framework for hedging longevity risk
- Actuarial applications of the linear hazard transform in life contingencies
- Actuarial applications of the linear hazard transform in mortality immunization
Cited In (24)
- Parametric mortality indexes: from index construction to hedging strategies
- Hedging Mortality/Longevity Risks for Multiple Years
- Correlated age-specific mortality model: an application to annuity portfolio management
- Mortality options: the point of view of an insurer
- Hedging longevity risk under non-Gaussian state-space stochastic mortality models: a mean-variance-skewness-kurtosis approach
- Delta-gamma hedging of mortality and interest rate risk
- A Unified Framework for Insurance Demand and Mortality Immunization
- A simple linear regression approach to modeling and forecasting mortality rates
- On the effectiveness of natural hedging for insurance companies and pension plans
- Gefahren von Duration-Matching-Strategien
- Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk
- Longevity Greeks: what do insurers and capital market investors need to know?
- Natural hedges with immunization strategies of mortality and interest rates
- Forward mortality rates in discrete time. II: Longevity risk and hedging strategies
- Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary
- Actuarial applications of the linear hazard transform in mortality immunization
- 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 linear regression approach to modeling mortality rates of different forms
- Applications of mortality durations and convexities in natural hedges
- Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds
- Age-specific copula-AR-GARCH mortality models
- Application of Relational Models in Mortality Immunization
- A Bühlmann credibility approach to modeling mortality rates
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