It's all in the hidden states : a longevity hedging strategy with an explicit measure of population basis risk
Yanxin Liu, Johnny Siu-Hang Li
| Year of publication: |
September 2016
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|---|---|
| Authors: | Liu, Yanxin ; Li, Johnny Siu-Hang |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 70.2016, p. 301-319
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| Subject: | Coherent mortality forecasting | Index-based longevity hedges | Multi-population mortality models | q-forwards | State-space models | Sterblichkeit | Mortality | Hedging | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.07.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011597305