A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES
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Publication:4563806
DOI10.1017/asb.2017.18zbMath1390.91215OpenAlexW2620549308MaRDI QIDQ4563806
Steven Haberman, Vladimir K. Kaishev, Pietro Millossovich, Andrés M. Villegas
Publication date: 4 June 2018
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/17449/1/ComparativeModelLongevityHedges_ASTIN_FINAL.pdf
hedge effectivenesslongevity basis riskindex-based hedgesstochastic moralitytwo-population mortality models
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