Basis risk in static versus dynamic longevity-risk hedging
DOI10.1080/03461238.2015.1134636zbMATH Open1401.91129OpenAlexW3122034766MaRDI QIDQ4575469FDOQ4575469
Elisa Luciano, Luca Regis, Clemente de Rosa
Publication date: 13 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: http://www.carloalberto.org/assets/working-papers/no.425.pdf
Recommendations
- Basis risk in index-based longevity hedges: a guide for longevity hedgers
- It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk
- Measuring Basis Risk in Longevity Hedges
- Optimal dynamic longevity hedge with basis risk
- A comparative study of two-population models for the assessment of basis risk in longevity hedges
Mathematical geography and demography (91D20) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Understanding, modelling and managing longevity risk: key issues and main challenges
- On systematic mortality risk and risk-minimization with survivor swaps
- Measuring Basis Risk in Longevity Hedges
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
- Time-consistent mean-variance hedging of longevity risk: effect of cointegration
- Longevity hedge effectiveness: a decomposition
- Delta-gamma hedging of mortality and interest rate risk
- Delta, gamma and bucket hedging of interest rate derivatives
- A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES
Cited In (17)
- Key q-duration: a framework for hedging longevity risk
- GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS
- Mortality options: the point of view of an insurer
- DYNAMIC HEDGING OF LONGEVITY RISK: THE EFFECT OF TRADING FREQUENCY
- Hedging Longevity Risk When Interest Rates are Uncertain
- Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk
- Cohort and value-based multi-country longevity risk management
- Optimal dynamic longevity hedge with basis risk
- Measuring Basis Risk in Longevity Hedges
- Stochastic mortality dynamics driven by mixed fractional Brownian motion
- Continuous-time multi-cohort mortality modelling with affine processes
- A comparative study of pricing approaches for longevity instruments
- Pricing and hedging of longevity basis risk through securitisation
- Time-consistent longevity hedging with long-range dependence
- Pension funds with longevity risk: an optimal portfolio insurance approach
- On the optimal hedge ratio in index-based longevity risk hedging
- Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know?
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