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Fair value hedging, between opportunity and necessity

Sahlian, Daniela; Botea, Mihaela; Trască, Daniela Livia - In: Theoretical and applied economics : GAER review 20 (2013) 12, pp. 97-104

Persistent link: https://www.econbiz.de/10010233215

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

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

A combined analysis of hedge effectiveness and capital efficiency in longevity hedging

Börger, Matthias; Freimann, Arne; Ruß, Jochen - In: Insurance / Mathematics & economics 99 (2021), pp. 309-326

Persistent link: https://www.econbiz.de/10012649235

Market and counterparty credit risk : selected computational and managerial aspects

Schwake, Daniel - 2016

Persistent link: https://www.econbiz.de/10012384955

Managing systematic mortality risk in life annuities : an application of longevity derivatives

Fung, Man Chung; Ignatieva, Ekaterina; Sherris, Michael - In: Risks : open access journal 7 (2019) 1/2, pp. 1-25

This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap for a life annuity portfolio. Although longevity swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, provide more effective...

Persistent link: https://www.econbiz.de/10012018726