The prediction risk for the development of mortality -- can it be minimized by an appropriate portfolio composition?
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Publication:949438
DOI10.1007/s11857-008-0039-1zbMath1183.91080OpenAlexW1991411510MaRDI QIDQ949438
Carmen Wetzel, Hans-Joachim Zwiesler
Publication date: 21 October 2008
Published in: Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11857-008-0039-1
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Related Items (3)
The Impact of Disability Insurance on a Portfolio of Life Insurances ⋮ On the pricing of longevity-linked securities ⋮ A Cautionary Note on Natural Hedging of Longevity Risk
Cites Work
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- Hedging life insurance with pure endowments
- Mortality derivatives and the option to annuitise.
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Option pricing: A simplified approach
- Financial and Demographic Risks of a Portfolio of Life Insurance Policies with Stochastic Interest Rates
- Stochastic Analysis of the Interaction Between Investment and Insurance Risks
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