Basis risk in static versus dynamic longevity-risk hedging
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Publication:4575469
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Cites work
- A comparative study of two-population models for the assessment of basis risk in longevity hedges
- Delta, gamma and bucket hedging of interest rate derivatives
- Delta-gamma hedging of mortality and interest rate risk
- Longevity hedge effectiveness: a decomposition
- Measuring Basis Risk in Longevity Hedges
- On systematic mortality risk and risk-minimization with survivor swaps
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
- Time-consistent mean-variance hedging of longevity risk: effect of cointegration
- Understanding, modelling and managing longevity risk: key issues and main challenges
Cited in
(24)- Optimal dynamic longevity hedge with basis risk
- Longevity hedge effectiveness using socioeconomic indices
- Hedging Longevity Risk When Interest Rates are Uncertain
- Key q-duration: a framework for hedging longevity risk
- Dynamic hedging of longevity risk: the effect of trading frequency
- Basis risk in index-based longevity hedges: a guide for longevity hedgers
- Pricing and hedging of longevity basis risk through securitisation
- Time-consistent longevity hedging with long-range dependence
- Mortality options: the point of view of an insurer
- Cross-hedging minimum return guarantees: basis and liquidity risks
- A comparative study of two-population models for the assessment of basis risk in longevity hedges
- Measuring Basis Risk in Longevity Hedges
- Cohort and value-based multi-country longevity risk management
- Downside risk management of a defined benefit plan considering longevity basis risk
- Risk-minimization for life insurance liabilities with basis risk
- On the optimal hedge ratio in index-based longevity risk hedging
- Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk
- Stochastic mortality dynamics driven by mixed fractional Brownian motion
- Geographical diversification and longevity risk mitigation in annuity portfolios
- Continuous-time multi-cohort mortality modelling with affine processes
- A comparative study of pricing approaches for longevity instruments
- It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk
- Longevity Greeks: what do insurers and capital market investors need to know?
- Pension funds with longevity risk: an optimal portfolio insurance approach
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