Wong, Tat Wing; Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance: Mathematics and Economics 56 (2014) C, pp. 56-67
This paper investigates the time-consistent dynamic mean–variance hedging of longevity risk with a longevity security contingent on a mortality index or the national mortality. Using an HJB framework, we solve the hedging problem in which insurance liabilities follow a doubly stochastic...