On systematic mortality risk and risk-minimization with survivor swaps

DOI10.1080/03461230701795873zbMath1224.91054OpenAlexW2108450721MaRDI QIDQ3077715

Thomas Møller, Martin Melchior, Mikkel Dahl

Publication date: 22 February 2011

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230701795873

zbMATH Keywords

affine mortality structure risk-minimization stochastic mortality survivor swap

Mathematics Subject Classification ID

Related Items

Stochastic Mortality Models and Pandemic Shocks, The role of the dependence between mortality and interest rates when pricing guaranteed annuity options, Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors, A subordinated Markov model for stochastic mortality, MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE, Pricing longevity derivatives via Fourier transforms, Mortality options: the point of view of an insurer, Basis risk in static versus dynamic longevity-risk hedging, Valuing guaranteed minimum accumulation benefits by a change of numéraire approach, Optimal hedging of demographic risk in life insurance, Longevity hedge effectiveness using socioeconomic indices, A strategy for hedging risks associated with period and cohort effects using q-forwards, Continuous-time multi-cohort mortality modelling with affine processes, Pricing Reinsurance Contracts, Pricing European options on deferred annuities, A comonotonicity-based valuation method for guaranteed annuity options, Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging, An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process, On the robustness of longevity risk pricing, Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting, GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS, Optimal dynamic longevity hedge with basis risk, Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk, DYNAMIC HEDGING OF LONGEVITY RISK: THE EFFECT OF TRADING FREQUENCY, Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets, A continuous-time stochastic model for the mortality surface of multiple populations, It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk, Modelling and management of mortality risk: a review, The evolution of death rates and life expectancy in Denmark, Longevity risk, cost of capital and hedging for life insurers under Solvency II, Dependent interest and transition rates in life insurance, A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach, Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know?, LOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETS, Performance measurement of pension strategies: a case study of Danish life cycle products, On the effectiveness of natural hedging for insurance companies and pension plans, Performance measurement of pension strategies: a case study of Danish life-cycle products, Risk-minimization for life insurance liabilities with basis risk, A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States, Longevity hedge effectiveness: a decomposition

Cites Work