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Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary
Lin, Tzuling; Tsai, Cary Chi-Liang - In: Insurance / Mathematics & economics 66 (2016), pp. 44-58
Persistent link: https://www.econbiz.de/10011442674
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Market risk, mortality risk, and sustainable retirement asset allocation : a downside risk perspective
Harlow, W. V.; Brown, Keith C. - In: Journal of investment management : JOIM 14 (2016) 2, pp. 5-32
Persistent link: https://www.econbiz.de/10011690837
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Covid-19 death risk estimation using VaR method
Surowiec, Agnieszka; Warowny, Tomasz - In: European research studies 24 (2021) 2, pp. 368-379
Persistent link: https://www.econbiz.de/10012663922
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The pricing of hedging longevity risk the help of annuity securitizations : an application to the German market
Lorson, Jonas; Wagner, Joël - In: Journal of risk finance : the convergence of financial … 15 (2014) 4, pp. 385-416
Persistent link: https://www.econbiz.de/10010429743
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Recent declines in life expectancy : implication on longevity risk hedging
Li, Johnny Siu-Hang; Liu, Yanxin - In: Insurance / Mathematics & economics 99 (2021), pp. 376-394
Persistent link: https://www.econbiz.de/10012649240
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Asymmetry in mortality volatility and its implications on index-based longevity hedging
Zhou, Kenneth Q.; Li, Johnny Siu-Hang - In: Annals of actuarial science : publ. by the Institute of … 14 (2020) 2, pp. 278-301
Persistent link: https://www.econbiz.de/10012307356
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Socioeconomic differentials in mortality : implications on index-based longevity hedges
Lyu, Pintao; Li, Johnny Siu-Hang; Zhou, Kenneth Q. - In: Scandinavian actuarial journal 2023 (2023) 4, pp. 359-387
Persistent link: https://www.econbiz.de/10014336393
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Interest rate risk estimation : a new duration-based approach
Bajo, Emanuele; Barbi, Massimiliano; Hullier, David - In: Applied economics 45 (2013) 19/21, pp. 2697-2704
Persistent link: https://www.econbiz.de/10010189364
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One asset does not fit all : inflation hedging by index and horizon
D'Amico, Stefania; King, Thomas B. - 2023
We examine the inflation-hedging properties of various financial assets and portfolios by estimating simple time … 30 years. There is no one-size-fits-all approach to inflation hedging: the optimal hedge depends on the particular types … - 2022, many historical hedging relationships failed, as monetary policy tightening lagged inflation. …
Persistent link: https://www.econbiz.de/10014249866
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Asymmetric volatility transmission and hedging strategies among REIT, stock, and oil markets
Mensi, Walid; Jiang, Zhuhua; Xuan Vinh Vo; Yoon, Seong-min - In: Australian economic papers 62 (2023) 4, pp. 597-615
Persistent link: https://www.econbiz.de/10014443716