It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk

DOI10.1016/j.insmatheco.2016.07.001zbMath1371.91103OpenAlexW2474711401MaRDI QIDQ2520457

Johnny Siu-Hang Li, Yanxin Liu

Publication date: 13 December 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.07.001

zbMATH Keywords

state-space modelscoherent mortality forecastingindex-based longevity hedgesq-forwardsmulti-population mortality models

Mathematics Subject Classification ID

Related Items (6)

Hedging longevity risk under non-Gaussian state-space stochastic mortality models: a mean-variance-skewness-kurtosis approach ⋮ Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ A comparative study of pricing approaches for longevity instruments ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ An Efficient Method for Mitigating Longevity Value-at-Risk

Uses Software

• Human Mortality

Cites Work

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• Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II

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