Optimal dynamic longevity hedge with basis risk

DOI10.1016/j.ejor.2021.05.055zbMath1487.91105OpenAlexW3173430869MaRDI QIDQ2242224

Chengguo Weng, Jinggong Zhang, Ken Seng Tan

Publication date: 9 November 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2021.05.055

zbMATH Keywords

dynamic programmingvariance minimizationrisk managementlongevity riskpension liability management

Mathematics Subject Classification ID

Dynamic programming (90C39) Actuarial mathematics (91G05)

Cites Work

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