Spatial natural hedging: a general framework with application to the mortality of U.S. states
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Publication:6656765
DOI10.1080/03461238.2024.2365977MaRDI QIDQ6656765FDOQ6656765
Authors: Kyran Cupido, Petar Jevtić, Luca Regis, Kenneth Q. Zhou 
Publication date: 3 January 2025
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
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Cites Work
- Modeling and forecasting U.S. mortality. (With discussion)
- Longevity hedge effectiveness: a decomposition
- Natural hedging of life and annuity mortality risks
- On the optimal product mix in life insurance companies using conditional value at risk
- On the forecasting of mortality reduction factors
- On the modeling and forecasting of socioeconomic mortality differentials: an application to deprivation and mortality in England
- On the effectiveness of natural hedging for insurance companies and pension plans
- The impact of the determinants of mortality on life insurance and annuities
- On the mortality/longevity risk hedging with mortality immunization
- Applications of mortality durations and convexities in natural hedges
- Spatial patterns of mortality in the United States: a spatial filtering approach
- Assessing the solvency of insurance portfolios via a continuous-time cohort model
- Actuarial applications of the linear hazard transform in mortality immunization
- Hedging Mortality/Longevity Risks for Multiple Years
- Natural hedges with immunization strategies of mortality and interest rates
- Stochastic mortality dynamics driven by mixed fractional Brownian motion
- Geographical diversification and longevity risk mitigation in annuity portfolios
- Natural hedging in continuous time life insurance
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