Delta–Gamma hedging of mortality and interest rate risk
Year of publication: |
2012
|
---|---|
Authors: | Luciano, Elisa ; Regis, Luca ; Vigna, Elena |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 50.2012, 3, p. 402-412
|
Publisher: |
Elsevier |
Subject: | Longevity risk | Insurance pricing and hedging | Delta–Gamma coverage | No-arbitrage in insurance |
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