Delta-hedging longevity risk under the M7-M5 model : the impact of cohort effect uncertainty and population basis risk
Year of publication: |
2019
|
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Authors: | Zhou, Kenneth Q. ; Li, Johnny Siu-Hang |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 84.2019, p. 1-21
|
Subject: | Cohort effect | Delta hedging | Population basis risk | The M7–M5 model | Value-at-risk | Hedging | Risiko | Risk | Sterblichkeit | Mortality | Risikomaß | Risk measure | Risikomanagement | Risk management | Kohortenanalyse | Cohort analysis |
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