On the optimal product mix in life insurance companies using conditional value at risk
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Publication:659215
DOI10.1016/J.INSMATHECO.2009.10.006zbMATH Open1231.91244OpenAlexW2152662609MaRDI QIDQ659215FDOQ659215
Authors: Jennifer L. Wang, Larry Y. Tzeng, Jeffrey Tsai 
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.10.006
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Cited In (26)
- Parametric mortality indexes: from index construction to hedging strategies
- Downside risk management of a defined benefit plan considering longevity basis risk
- A cautionary note on natural hedging of longevity risk
- Range-based risk measures and their applications
- The Impact of Disability Insurance on a Portfolio of Life Insurances
- Redistribution of longevity risk: the effect of heterogeneous mortality beliefs
- A Unified Framework for Insurance Demand and Mortality Immunization
- Longevity Risk and Capital Markets: The 2017–2018 Update
- On the effectiveness of natural hedging for insurance companies and pension plans
- Hedging Longevity Risk When Interest Rates are Uncertain
- Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk
- Longevity Greeks: what do insurers and capital market investors need to know?
- Natural hedging in long-term care insurance
- Longevity risk and capital markets: the 2019--20 update
- Nash equilibria of over-the-counter bargaining for insurance risk redistributions: the role of a regulator
- Longevity Risk and Capital Markets: The 2012–2013 Update
- Excess based allocation of risk capital
- Editorial: Longevity risk and capital markets: the 2013--14 update
- Spatial natural hedging: a general framework with application to the mortality of U.S. states
- Competitive equilibria with distortion risk measures
- Longevity risk and capital markets: the 2015--16 update
- Applications of mortality durations and convexities in natural hedges
- On the mortality/longevity risk hedging with mortality immunization
- Dynamic conditional value-at-risk model for routing and scheduling of hazardous material transportation networks
- A feasible natural hedging strategy for insurance companies
- Application of Relational Models in Mortality Immunization
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