Applications of Mortality Durations and Convexities in Natural Hedges

DOI10.1080/10920277.2014.911108zbMath1414.91215OpenAlexW2043508196MaRDI QIDQ5379127

Cary Chi-Liang Tsai, Tzuling Lin

Publication date: 28 May 2019

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

Full work available at URL: https://doi.org/10.1080/10920277.2014.911108

zbMATH Keywords

value at risklife insurance pricingconvexity matchingmortality durations

Mathematics Subject Classification ID

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

Related Items (11)

Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds ⋮ Hedging Mortality/Longevity Risks for Multiple Years ⋮ Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary ⋮ A Linear Regression Approach to Modeling Mortality Rates of Different Forms ⋮ A Bühlmann Credibility Approach to Modeling Mortality Rates ⋮ Application of Relational Models in Mortality Immunization ⋮ Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ NATURAL HEDGES WITH IMMUNIZATION STRATEGIES OF MORTALITY AND INTEREST RATES ⋮ Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know? ⋮ Age-specific copula-AR-GARCH mortality models

Cites Work

• Modeling and Forecasting U.S. Mortality
• On age-period-cohort parametric mortality rate projections
• On the optimal product mix in life insurance companies using conditional value at risk
• On the mortality/longevity risk hedging with mortality immunization
• Actuarial applications of the linear hazard transform in life contingencies
• Actuarial applications of the linear hazard transform in mortality immunization
• On Redington's theory of immunization
• A Theory of the Term Structure of Interest Rates
• Key Q-Duration: A Framework for Hedging Longevity Risk
• Longevity hedge effectiveness: a decomposition
• Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach
• Measuring Basis Risk in Longevity Hedges
• Natural Hedging of Life and Annuity Mortality Risks

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