Partial splitting of longevity and financial risks: the longevity nominal choosing swaptions

DOI10.1016/J.INSMATHECO.2016.02.001MaRDI QIDQ320262zbMATH OpenOpenAlexFDO

Authors Harry Bensusan, Nicole El Karoui, Stéphane Loisel, Yahia Salhi

Publication date 6 October 2016

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2016.02.001

zbMATH Keywords

longevity riskhedge effectivenessinterest rate risklongevity modelingpension fundsrisk transfer

Mathematics Subject Classification ID

Mathematical geography and demography (91D20) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
• An equilibrium characterization of the term structure
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• Modeling and forecasting U.S. mortality. (With discussion)
• Natural hedging of life and annuity mortality risks
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Stochastic and deterministic models for age-structured populations with genetically variable traits
• The role of longevity bonds in optimal portfolios
• Understanding, modelling and managing longevity risk: key issues and main challenges

Cited in

(1)

• Keeping some skin in the game: how to start a capital market in longevity risk transfers

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