Basis risk in static versus dynamic longevity-risk hedging
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Publication:4575469
DOI10.1080/03461238.2015.1134636zbMath1401.91129OpenAlexW3122034766MaRDI QIDQ4575469
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
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Mortality options: the point of view of an insurer ⋮ Stochastic mortality dynamics driven by mixed fractional Brownian motion ⋮ Continuous-time multi-cohort mortality modelling with affine processes ⋮ Cohort and value-based multi-country longevity risk management ⋮ GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS ⋮ Optimal dynamic longevity hedge with basis risk ⋮ Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk ⋮ DYNAMIC HEDGING OF LONGEVITY RISK: THE EFFECT OF TRADING FREQUENCY ⋮ Time-consistent longevity hedging with long-range dependence ⋮ A comparative study of pricing approaches for longevity instruments ⋮ Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know?
Cites Work
- Delta-gamma hedging of mortality and interest rate risk
- Time-consistent mean-variance hedging of longevity risk: effect of cointegration
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
- Understanding, modelling and managing longevity risk: key issues and main challenges
- Longevity hedge effectiveness: a decomposition
- On systematic mortality risk and risk-minimization with survivor swaps
- Measuring Basis Risk in Longevity Hedges
- 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
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