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Time-consistent mean-variance hedging of longevity risk : effect of cointegration
Wong, Tat Wing; Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance / Mathematics & economics 56 (2014), pp. 56-67
Persistent link: https://www.econbiz.de/10010385032
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Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
Luciano, Elisa; Regis, Luca - In: Insurance / Mathematics & economics 55 (2014), pp. 68-77
Persistent link: https://www.econbiz.de/10010366205
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Consumption-investment problems with stochastic mortality risk
Schendel, Lorenz S. - 2014 - This version: March 3, 2014
stochastic mortality risk driven by jumps, unspanned labor income as well as short-sale and liquidity constraints and a simple … insurance. I compare models with deterministic and stochastic hazard rate of death to a model without mortality risk. Mortality …
Persistent link: https://www.econbiz.de/10010252060
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Asset demands and consumption with longevity risk
Jang, Bong-Gyu; Koo, Hyeng-keun; Rhee, Yuna - In: Economic theory : official journal of the Society for … 62 (2016) 3, pp. 587-633
Persistent link: https://www.econbiz.de/10011529384
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Hedging pure endowments with mortality derivatives
Wang, Ting; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 238-255
Persistent link: https://www.econbiz.de/10011533915
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Partial splitting of longevity and financial risks : the longevity nominal choosing swaptions
Bensusan, Harry; El Karoui, Nicole; Loisel, Stéphane; … - In: Insurance / Mathematics & economics 68 (2016), pp. 73-83
Persistent link: https://www.econbiz.de/10011492465
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A parametric model to price a portfolio of single-premium life insurance policies and to decompose its longevity risk
Ferrentino, Rosa; Vota, Luca - In: International journal of economics and business … 23 (2022) 3, pp. 368-388
Persistent link: https://www.econbiz.de/10013253505
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Benefit volatility-targeting strategies in lifetime pension pools
Bégin, Jean-François; Sanders, Barbara - In: Insurance : mathematics and economics 118 (2024), pp. 72-94
Persistent link: https://www.econbiz.de/10015067021
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Still living with mortality : the longevity risk transfer market after one decade
Blake, David; Cairns, Andrew; Dowd, Kevin; Kessler, Amy - 2018
Persistent link: https://www.econbiz.de/10011912097
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Lifetime asset allocation with idiosyncratic and systematic mortality risks
Shen, Yang; Sherris, Michael - In: Scandinavian actuarial journal (2018) 4, pp. 294-327
Persistent link: https://www.econbiz.de/10011881099