Application of relational models in mortality immunization
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Publication:4633994
DOI10.1080/10920277.2018.1462715zbMATH Open1411.91273OpenAlexW2180223159WikidataQ129159100 ScholiaQ129159100MaRDI QIDQ4633994FDOQ4633994
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
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Cites Work
- Modeling and forecasting U.S. mortality. (With discussion)
- Measuring Basis Risk in Longevity Hedges
- Longevity hedge effectiveness: a decomposition
- Natural hedging of life and annuity mortality risks
- A linear regression approach to modeling mortality rates of different forms
- On the optimal product mix in life insurance companies using conditional value at risk
- The role of longevity bonds in optimal portfolios
- Hedging Longevity Risk When Interest Rates are Uncertain
- On the effectiveness of natural hedging for insurance companies and pension plans
- On the mortality/longevity risk hedging with mortality immunization
- Key q-duration: a framework for hedging longevity risk
- Applications of mortality durations and convexities in natural hedges
- Actuarial applications of the linear hazard transform in mortality immunization
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