Hedging longevity risk under non-Gaussian state-space stochastic mortality models : a mean-variance-skewness-kurtosis approach
Johnny Siu-Hang Li, Yanxin Liu, Wai-Sum Chan
| Year of publication: |
2023
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|---|---|
| Authors: | Li, Johnny Siu-Hang ; Liu, Yanxin ; Chan, Wai-Sum |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 113.2023, p. 96-121
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| Subject: | Higher moments | Longevity risk | Polynomial goal programming | State-space models | Sterblichkeit | Mortality | Hedging | Risikomodell | Risk model | Stochastischer Prozess | Stochastic process | Theorie | Theory | Zustandsraummodell | State space model | Risikomanagement | Risk management | Versicherungsmathematik | Actuarial mathematics | Portfolio-Management | Portfolio selection | Lebensversicherung | Life insurance | Monte-Carlo-Simulation | Monte Carlo simulation | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2023.08.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014466206