Constructing Out-of-the-Money Longevity Hedges Using Parametric Mortality Indexes

DOI10.1080/10920277.2019.1650285zbMath1461.91250OpenAlexW2920061562WikidataQ126745330 ScholiaQ126745330MaRDI QIDQ4987105

Kenneth Q. Zhou, Jackie Li, Uditha Balasooriya, Johnny Siu-Hang Li

Publication date: 28 April 2021

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

Full work available at URL: http://hdl.handle.net/11343/220013

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Related Items (2)

Green nested simulation via likelihood ratio: applications to longevity risk management ⋮ Longevity risk and capital markets: the 2019--20 update

Cites Work

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