Local risk-minimization with longevity bonds

DOI10.1002/ASMB.2028MaRDI QIDQ6574711zbMATH OpenFDO

Authors Lars Frederik Brandt Henriksen, Thomas Møller

Publication date 18 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/ASMB.2028

zbMATH Keywords

local risk-minimizationlongevity bondminimal martingale measure

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A guided tour through quadratic hedging approaches
• A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
• DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS¹
• Hedging life insurance contracts in a Lévy process financial market
• scientific article; zbMATH DE number 4085365 (Why is no real title available?)
• Local risk-minimization for multidimensional assets and payment streams
• No Arbitrage and General Semimartingales
• On systematic mortality risk and risk-minimization with survivor swaps
• Valuation and hedging of life insurance liabilities with systematic mortality risk

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