Longevity hedge effectiveness: a decomposition
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Publication:2879022
DOI10.1080/14697688.2012.748986zbMATH Open1294.91072OpenAlexW2061958304MaRDI QIDQ2879022FDOQ2879022
Authors: Andrew J. G. Cairns, Kevin Dowd, David Blake, Guy D. Coughlan 
Publication date: 5 September 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/6836/1/Longevity%20Hedge%20Effectiveness.pdf
Recommendations
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- Time-consistent longevity hedging with long-range dependence
- Hedging Mortality/Longevity Risks for Multiple Years
- Measuring Basis Risk in Longevity Hedges
correlationlongevity riskhedge effectivenesspopulation basis riskvaluation modelrecalibration riskvalue hedging
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Cited In (42)
- A cautionary note on natural hedging of longevity risk
- Key q-duration: a framework for hedging longevity risk
- Redistribution of longevity risk: the effect of heterogeneous mortality beliefs
- Pricing longevity-linked securities in the presence of mortality trend changes
- Hedging longevity risk under non-Gaussian state-space stochastic mortality models: a mean-variance-skewness-kurtosis approach
- Longevity hedge effectiveness using socioeconomic indices
- Longevity Risk and Capital Markets: The 2017–2018 Update
- A comparative study of two-population models for the assessment of basis risk in longevity hedges
- Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk
- Cohort and value-based multi-country longevity risk management
- Longevity Greeks: what do insurers and capital market investors need to know?
- Modelling mortality for pension schemes
- Dynamic hedging of longevity risk: the effect of trading frequency
- Hedging annuity risks with the age-period-cohort two-population gravity model
- Forward mortality rates in discrete time. II: Longevity risk and hedging strategies
- Statistical emulators for pricing and hedging longevity risk products
- A combined analysis of hedge effectiveness and capital efficiency in longevity hedging
- Longevity risk and capital markets: the 2019--20 update
- Pooling mortality risk in eurozone state pension liabilities: an application of a Bayesian coherent multi-population cohort-based mortality model
- Optimal dynamic longevity hedge with basis risk
- Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
- Pitfalls and merits of cointegration-based mortality models
- It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk
- Multivariate time series modeling, estimation and prediction of mortalities
- Longevity Risk and Capital Markets: The 2012–2013 Update
- Editorial: Longevity risk and capital markets: the 2013--14 update
- De-risking defined benefit plans
- The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds
- Spatial natural hedging: a general framework with application to the mortality of U.S. states
- Evaluation of credit value adjustment in K-forward
- A linear regression approach to modeling mortality rates of different forms
- Basis risk in index-based longevity hedges: a guide for longevity hedgers
- Longevity risk and capital markets: the 2015--16 update
- Applications of mortality durations and convexities in natural hedges
- On the mortality/longevity risk hedging with mortality immunization
- Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration
- Basis risk in static versus dynamic longevity-risk hedging
- It takes two: why mortality trend modeling is more than modeling one mortality trend
- A strategy for hedging risks associated with period and cohort effects using q-forwards
- Age-specific copula-AR-GARCH mortality models
- Application of Relational Models in Mortality Immunization
- The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk
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