Spatial natural hedging: a general framework with application to the mortality of U.S. states

DOI10.1080/03461238.2024.2365977MaRDI QIDQ6656765zbMATH OpenFDO

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)

Mathematics Subject Classification ID

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Cites work

• Actuarial applications of the linear hazard transform in mortality immunization
• Applications of mortality durations and convexities in natural hedges
• Assessing the solvency of insurance portfolios via a continuous-time cohort model
• Geographical diversification and longevity risk mitigation in annuity portfolios
• Hedging Mortality/Longevity Risks for Multiple Years
• Longevity hedge effectiveness: a decomposition
• Modeling and forecasting U.S. mortality. (With discussion)
• Natural hedges with immunization strategies of mortality and interest rates
• Natural hedging in continuous time life insurance
• Natural hedging of life and annuity mortality risks
• On the effectiveness of natural hedging for insurance companies and pension plans
• 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 mortality/longevity risk hedging with mortality immunization
• On the optimal product mix in life insurance companies using conditional value at risk
• Spatial patterns of mortality in the United States: a spatial filtering approach
• Stochastic mortality dynamics driven by mixed fractional Brownian motion
• The impact of the determinants of mortality on life insurance and annuities

Cited in

(1)

• A COVID-19 stress test for life insurance: insights into the effectiveness of different risk mitigation strategies

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