Delta-gamma hedging of mortality and interest rate risk
From MaRDI portal
Publication:414608
DOI10.1016/j.insmatheco.2012.01.006zbMath1237.91134MaRDI QIDQ414608
Elisa Luciano, Luca Regis, Elena Vigna
Publication date: 11 May 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.01.006
91G30: Interest rates, asset pricing, etc. (stochastic models)
Related Items
LONGEVITY RISK MANAGEMENT AND SHAREHOLDER VALUE FOR A LIFE ANNUITY BUSINESS, THE LOCALLY LINEAR CAIRNS–BLAKE–DOWD MODEL: A NOTE ON DELTA–NUGA HEDGING OF LONGEVITY RISK, Basis risk in static versus dynamic longevity-risk hedging, Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know?, Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees, Stochastic Mortality Models and Pandemic Shocks, An innovative design of flexible, bequest-enhanced life annuity with natural hedging, VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD, GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS, The Impact of Disability Insurance on a Portfolio of Life Insurances, Hedging longevity risk in defined contribution pension schemes, Optimal dynamic asset allocation of pension fund in mortality and salary risks framework, Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances, Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk, Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age?, A unisex stochastic mortality model to comply with EU Gender Directive, A strategy for hedging risks associated with period and cohort effects using q-forwards, Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk, Pricing equity-linked life insurance contracts with multiple risk factors by neural networks, Stochastic mortality dynamics driven by mixed fractional Brownian motion, Optimal dynamic longevity hedge with basis risk, It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk, Pricing longevity derivatives via Fourier transforms, A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
Cites Work
- Unnamed Item
- Unnamed Item
- On Cox processes and credit risky securities
- Longevity risk and capital markets: the 2008-2009 update
- Affine processes for dynamic mortality and actuarial valuations
- Valuation and hedging of life insurance liabilities with systematic mortality risk
- Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
- Modelling stochastic mortality for dependent lives
- Point processes and queues. Martingale dynamics
- Mortality derivatives and the option to annuitise.
- Stochastic calculus for finance. II: Continuous-time models.
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- A Theory of the Term Structure of Interest Rates
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Delta, gamma and bucket hedging of interest rate derivatives
- An equilibrium characterization of the term structure
- Pricing Interest-Rate-Derivative Securities
