Time-consistent mean–variance hedging of longevity risk: Effect of cointegration
Year of publication: |
2014
|
---|---|
Authors: | Wong, Tat Wing ; Chiu, Mei Choi ; Wong, Hoi Ying |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 56.2014, C, p. 56-67
|
Publisher: |
Elsevier |
Subject: | Longevity risk | Basis risk | Cointegration | Stochastic mortality |
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