Longevity hedge effectiveness: a decomposition
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Publication:2879022
Recommendations
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Cites work
- A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
- A Bayesian forecasting model: predicting U.S. male mortality
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks
- A gravity model of mortality rates for two related populations
- Bayesian Poisson log-bilinear mortality projections
- Can expected shortfall and Value-at-Risk be used to statically hedge options?
- Comonotonic approximations to quantiles of life annuity conditional expected present values extensions to general ARIMA models and comparison with the bootstrap
- Evaluating the goodness of fit of stochastic mortality models
- Measuring Basis Risk in Longevity Hedges
- Modeling and forecasting U.S. mortality. (With discussion)
- Modeling and management of mortality risk: a review
- Modeling the forward surface of mortality
- Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
- On systematic mortality risk and risk-minimization with survivor swaps
- Securitization, structuring and pricing of longevity risk
- Stochastic Mortality: The Impact on Target Capital
- Stochastic mortality under measure changes
- Stochastic portfolio specific mortality and the quantification of mortality basis risk
- Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach
Cited in
(42)- The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk
- 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?
- Statistical emulators for pricing and hedging longevity risk products
- 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
- 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
- Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
- Optimal dynamic longevity hedge with basis risk
- 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
- Evaluation of credit value adjustment in K-forward
- Spatial natural hedging: a general framework with application to the mortality of U.S. states
- A linear regression approach to modeling mortality rates of different forms
- Longevity risk and capital markets: the 2015--16 update
- Basis risk in index-based longevity hedges: a guide for longevity hedgers
- 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
- It takes two: why mortality trend modeling is more than modeling one mortality trend
- Basis risk in static versus dynamic longevity-risk hedging
- 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
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