Longevity hedge effectiveness using socioeconomic indices
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Recommendations
- A combined analysis of hedge effectiveness and capital efficiency in longevity hedging
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Cites work
- A combined analysis of hedge effectiveness and capital efficiency in longevity hedging
- A comparative study of two-population models for the assessment of basis risk in longevity hedges
- A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
- A note on the connection between the Esscher-Girsanov transform and the Wang transform
- A theory of bonus life insurance
- An Intertemporal Capital Asset Pricing Model
- Basis risk in index-based longevity hedges: a guide for longevity hedgers
- Empirical option pricing: A retrospection
- Forward mortality rates in discrete time. I: Calibration and securities pricing
- Forward mortality rates in discrete time. II: Longevity risk and hedging strategies
- scientific article; zbMATH DE number 5522381 (Why is no real title available?)
- If we can simulate it, we can insure it: an application to longevity risk management
- Keeping some skin in the game: how to start a capital market in longevity risk transfers
- Key q-duration: a framework for hedging longevity risk
- Longevity hedge effectiveness: a decomposition
- Longevity risk in portfolios of pension annuities
- Measuring Basis Risk in Longevity Hedges
- Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
- Modelling socio-economic differences in mortality using a new affluence index
- Monotonic Smoothing Splines Fitted by Cross Validation
- Multi-population mortality models: fitting, forecasting and comparisons
- On systematic mortality risk and risk-minimization with survivor swaps
- Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Pricing longevity derivatives via Fourier transforms
- Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
- The Model Confidence Set
- The pricing of options and corporate liabilities
- Understanding, modelling and managing longevity risk: key issues and main challenges
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