Risk-minimization for life insurance liabilities with basis risk
DOI10.1007/S11579-015-0154-4zbMATH Open1404.91136OpenAlexW2178007548MaRDI QIDQ253099FDOQ253099
Authors: Francesca Biagini, Thorsten Rheinländer, Irene Schreiber 
Publication date: 8 March 2016
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-015-0154-4
Recommendations
- Risk-minimization for life insurance liabilities
- Basis risk in index-based longevity hedges: a guide for longevity hedgers
- Optimal dynamic longevity hedge with basis risk
- Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
- Basis risk in static versus dynamic longevity-risk hedging
affine mortality structurebasis risklife insurance payment processesmartingale representationrisk-minimization
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44)
Cites Work
- Understanding, modelling and managing longevity risk: key issues and main challenges
- Title not available (Why is that?)
- Stochastic differential equations. An introduction with applications
- Affine processes and applications in finance
- Hazard rate for credit risk and hedging defaultable contingent claims
- Optimal hedging of demographic risk in life insurance
- Quadratic hedging methods for defaultable claims
- Hedging life insurance contracts in a Lévy process financial market
- A guided tour through quadratic hedging approaches
- Risk-minimization for life insurance liabilities
- Risk-minimization for life insurance liabilities
- On systematic mortality risk and risk-minimization with survivor swaps
- A gravity model of mortality rates for two related populations
- Measuring Basis Risk in Longevity Hedges
- Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
- Local risk-minimization for multidimensional assets and payment streams
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Local risk minimization for defaultable markets
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Convergence of discretized stochastic (interest rate) processes with stochastic drift term
- Title not available (Why is that?)
- Local risk-minimization for defaultable claims with recovery process
- Financial modeling, actuarial valuation and solvency in insurance
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Title not available (Why is that?)
- HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS
- Risk-minimizing hedging strategies for insurance payment processes
- Affine processes for dynamic mortality and actuarial valuations
- Valuation and hedging of life insurance liabilities with systematic mortality risk
- Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
Cited In (15)
- Cross-hedging minimum return guarantees: basis and liquidity risks
- Unit-linked life insurance policies: optimal hedging in partially observable market models
- Indifference pricing of pure endowments via BSDEs under partial information
- Risk minimization with inflation and interest rate risk: applications to non-life insurance
- Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting
- Reduced-form framework under model uncertainty
- Optimal hedging with basis risk under mean-variance criterion
- Optimal dynamic longevity hedge with basis risk
- On the optimal product mix in life insurance companies using conditional value at risk
- Risk-minimization for life insurance liabilities
- On systematic mortality risk and risk-minimization with survivor swaps
- Risk-minimization for life insurance liabilities with dependent mortality risk
- Polynomial diffusion models for life insurance liabilities
- Extended reduced-form framework for non-life insurance
- Basis risk in index-based longevity hedges: a guide for longevity hedgers
This page was built for publication: Risk-minimization for life insurance liabilities with basis risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q253099)
