Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration

DOI10.1016/j.insmatheco.2016.10.005zbMath1371.91096OpenAlexW2533202979WikidataQ58980697 ScholiaQ58980697MaRDI QIDQ2374128

Mei Choi Chiu, Kai Yin Kwok, Hoi Ying Wong

Publication date: 14 December 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.10.005

zbMATH Keywords

Nash equilibriumcointegrationrelative performancenonzero sum gamesdemand of longevity bondslongevity security market

Mathematics Subject Classification ID

Related Items (8)

Inference for the Lee-Carter model with an AR(2) process ⋮ On the effects of changing mortality patterns on investment, labour and consumption under uncertainty ⋮ Robust dynamic pairs trading with cointegration ⋮ Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process ⋮ BIAS-CORRECTED INFERENCE FOR A MODIFIED LEE–CARTER MORTALITY MODEL ⋮ Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework ⋮ Statistical Inference for Lee-Carter Mortality Model and Corresponding Forecasts ⋮ Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model

Cites Work

• A class of non-zero-sum stochastic differential investment and reinsurance games
• Editorial: Longevity risk and capital markets: the 2013--14 update
• Mean-variance portfolio selection of cointegrated assets
• The role of longevity bonds in optimal portfolios
• Lifetime consumption and investment: retirement and constrained borrowing
• Non-zero-sum reinsurance games subject to ambiguous correlations
• Optimal investment for an insurer with cointegrated assets: CRRA utility
• Mean-variance asset-liability management: cointegrated assets and insurance liability
• Longevity-linked assets and pre-retirement consumption/portfolio decisions
• Time-consistent mean-variance hedging of longevity risk: effect of cointegration
• On Models of Default Risk
• Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities
• Longevity hedge effectiveness: a decomposition
• Stochastic mortality under measure changes
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Error Correction and Long-Run Equilibrium in Continuous Time
• OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS

This page was built for publication: Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration