Basis risk in static versus dynamic longevity-risk hedging
DOI10.1080/03461238.2015.1134636zbMATH Open1401.91129OpenAlexW3122034766MaRDI QIDQ4575469FDOQ4575469
Authors: Clemente de Rosa, Elisa Luciano, Luca Regis 
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
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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 (23)
- Risk-minimization for life insurance liabilities with basis risk
- Downside risk management of a defined benefit plan considering longevity basis risk
- Key q-duration: a framework for hedging longevity risk
- Cross-hedging minimum return guarantees: basis and liquidity risks
- Mortality options: the point of view of an insurer
- A comparative study of two-population models for the assessment of basis risk in longevity hedges
- 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
- Longevity Greeks: what do insurers and capital market investors need to know?
- Dynamic hedging of longevity risk: the effect of trading frequency
- Geographical diversification and longevity risk mitigation in annuity portfolios
- 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
- 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
- Basis risk in index-based longevity hedges: a guide for longevity hedgers
- 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
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