Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary
DOI10.1016/J.INSMATHECO.2015.10.006zbMATH Open1348.91169OpenAlexW2176282676MaRDI QIDQ903329FDOQ903329
Authors: Tzuling Lin, Cary Chi-Liang Tsai 
Publication date: 5 January 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.10.006
Recommendations
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Mathematical geography and demography (91D20) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Modeling and forecasting U.S. mortality. (With discussion)
- On stochastic mortality modeling
- Measuring Basis Risk in Longevity Hedges
- Natural hedging of life and annuity mortality risks
- Mortality risk modeling: applications to insurance securitization
- The role of longevity bonds in optimal portfolios
- On age-period-cohort parametric mortality rate projections
- Longevity risk in pension annuities with exchange options: the effect of product design
- On the mortality/longevity risk hedging with mortality immunization
- Age-specific copula-AR-GARCH mortality models
- Key q-duration: a framework for hedging longevity risk
- Applications of mortality durations and convexities in natural hedges
Cited In (9)
- Hedging Mortality/Longevity Risks for Multiple Years
- Correlated age-specific mortality model: an application to annuity portfolio management
- HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS
- Hedging Longevity Risk When Interest Rates are Uncertain
- Forward mortality rates in discrete time. II: Longevity risk and hedging strategies
- A DOUBLE COMMON FACTOR MODEL FOR MORTALITY PROJECTION USING BEST-PERFORMANCE MORTALITY RATES AS REFERENCE
- Hedging life insurance with pure endowments
- REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE
- Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds
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