DYNAMIC HEDGING OF LONGEVITY RISK: THE EFFECT OF TRADING FREQUENCY

DOI10.1017/asb.2017.26zbMath1390.91194OpenAlexW3124817406MaRDI QIDQ5745193

Hong Li

Publication date: 5 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2017.26

zbMATH Keywords

minimum variancelongevity riskdynamic hedgingforward mortality model

Mathematics Subject Classification ID

Related Items (5)

Tail index-linked annuity: A longevity risk sharing retirement plan ⋮ Gompertz law revisited: forecasting mortality with a multi-factor exponential model ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ An Efficient Method for Mitigating Longevity Value-at-Risk ⋮ Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies

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