Hedging Longevity Risk When Interest Rates are Uncertain

DOI10.1080/10920277.2011.10597617zbMATH Open1228.91049OpenAlexW2022331140MaRDI QIDQ3107263FDOQ3107263

Authors: Larry Y. Tzeng, Jennifer L. Wang, Jeffrey Tsai 

Publication date: 21 December 2011

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2011.10597617

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Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• A theory of the term structure of interest rates
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Valuation of contingent claims with mortality and interest rate risks
• On the optimal product mix in life insurance companies using conditional value at risk
• Affine stochastic mortality
• Lee-Carter mortality forecasting with age-specific enhancement.
• Mortality modelling with Lévy processes

Cited In (25)

• Longevity hedge effectiveness: a decomposition
• Hedging Mortality/Longevity Risks for Multiple Years
• HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS
• Key q-duration: a framework for hedging longevity risk
• Optimal longevity risk transfer and investment strategies
• De-risking strategy: longevity spread buy-in
• Longevity Risk and Capital Markets: The 2017–2018 Update
• On the effectiveness of natural hedging for insurance companies and pension plans
• An innovative design of flexible, bequest-enhanced life annuity with natural hedging
• Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk
• Hedging longevity risk: does the structure of the financial instrument matter?
• Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary
• Longevity risk and capital markets: the 2019--20 update
• Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
• Longevity Risk and Capital Markets: The 2012–2013 Update
• Measuring Basis Risk in Longevity Hedges
• Editorial: Longevity risk and capital markets: the 2013--14 update
• Pricing and hedging of longevity basis risk through securitisation
• Longevity risk and capital markets: the 2015--16 update
• Pension funds with longevity risk: an optimal portfolio insurance approach
• Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds
• On the mortality/longevity risk hedging with mortality immunization
• A feasible natural hedging strategy for insurance companies
• Application of Relational Models in Mortality Immunization
• On the optimal hedge ratio in index-based longevity risk hedging

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