A comparative study of two-population models for the assessment of basis risk in longevity hedges
By Andrés M. Villegas, Steven Haberman, Vladimir K. Kaishev and Pietro Millossovich
| Year of publication: |
2017
|
|---|---|
| Authors: | Villegas, Andrés M. ; Haberman, Steven ; Kaishev, Vladimir K. ; Millossovich, Pietro |
| Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 47.2017, 3, p. 631-679
|
| Subject: | Stochastic morality | longevity basis risk | two-population mortality models | hedge effectiveness | index-based hedges | Sterblichkeit | Mortality | Hedging | Theorie | Theory | Risikomodell | Risk model | Risiko | Risk | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2017.18 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011763526