Application of relational models in mortality immunization

DOI10.1080/10920277.2018.1462715MaRDI QIDQ4633994zbMATH OpenOpenAlexWikidataFDO

Authors Cary Chi-Liang Tsai, Xinying Liang

Publication date 7 May 2019

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL http://summit.sfu.ca/item/15714

Mathematics Subject Classification ID

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Cites work

• A linear regression approach to modeling mortality rates of different forms
• Actuarial applications of the linear hazard transform in mortality immunization
• Applications of mortality durations and convexities in natural hedges
• Hedging Longevity Risk When Interest Rates are Uncertain
• Key q-duration: a framework for hedging longevity risk
• Longevity hedge effectiveness: a decomposition
• Measuring Basis Risk in Longevity Hedges
• Modeling and forecasting U.S. mortality. (With discussion)
• Natural hedging of life and annuity mortality risks
• On the effectiveness of natural hedging for insurance companies and pension plans
• On the mortality/longevity risk hedging with mortality immunization
• On the optimal product mix in life insurance companies using conditional value at risk
• The role of longevity bonds in optimal portfolios

Cited in

(2)

• Longevity risk and capital markets: the 2019--20 update
• On the mortality/longevity risk hedging with mortality immunization

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