Forward mortality rates in discrete time. II: Longevity risk and hedging strategies
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Cites work
- A cautionary note on natural hedging of longevity risk
- A general procedure for constructing mortality models
- An index for longevity risk transfer
- Closing and projecting life tables using log-linear models
- Dynamic hedging of longevity risk: the effect of trading frequency
- Forward mortality and other vital rates - are they the way forward?
- Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
- scientific article; zbMATH DE number 5321684 (Why is no real title available?)
- Longevity hedge effectiveness: a decomposition
- Modeling and forecasting U.S. mortality. (With discussion)
- Modelling mortality for pension schemes
- Natural hedging of life and annuity mortality risks
- On the (in-)dependence between financial and actuarial risks
- On the modeling and forecasting of socioeconomic mortality differentials: an application to deprivation and mortality in England
- Parametric mortality indexes: from index construction to hedging strategies
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Stochastic mortality models: an infinite-dimensional approach
Cited in
(34)- A strategy for hedging risks associated with period and cohort effects using q-forwards
- On the mortality/longevity risk hedging with mortality immunization
- Time-consistent longevity hedging with long-range dependence
- Longevity risk and capital markets: the 2019--20 update
- Tackling longevity risk by means of financial compensation
- Optimal dynamic longevity hedge with basis risk
- Assessing the solvency of insurance portfolios via a continuous-time cohort model
- Evaluation of credit value adjustment in K-forward
- Time-consistent mean-variance hedging of longevity risk: effect of cointegration
- It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk
- The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk
- Application of relational models in mortality immunization
- Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: a practical approach
- Longevity Greeks: what do insurers and capital market investors need to know?
- Hedging annuity risks with the age-period-cohort two-population gravity model
- An efficient method for mitigating longevity value-at-risk
- Constructing out-of-the-money longevity hedges using parametric mortality indexes
- Hedging longevity risk: does the structure of the financial instrument matter?
- Redistribution of longevity risk: the effect of heterogeneous mortality beliefs
- Hedging Mortality/Longevity Risks for Multiple Years
- Cohort and value-based multi-country longevity risk management
- Geographical diversification and longevity risk mitigation in annuity portfolios
- A cautionary note on natural hedging of longevity risk
- Dynamic hedging of longevity risk: the effect of trading frequency
- Hedging longevity risk in defined contribution pension schemes
- Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds
- Hedging longevity risk under non-Gaussian state-space stochastic mortality models: a mean-variance-skewness-kurtosis approach
- Longevity hedge effectiveness using socioeconomic indices
- Pricing and hedging of longevity basis risk through securitisation
- Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
- On the pricing of longevity-linked securities
- Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
- Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary
- Longevity risk in portfolios of pension annuities
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