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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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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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Analysis of survivorship life insurance portfolios with stochastic rates of return
Chen, Li; Lin, Luyao; Lu, Yi; Parker, Gary - In: Insurance / Mathematics & economics 75 (2017), pp. 16-31
Persistent link: https://www.econbiz.de/10011740696
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Longevity risk management and shareholder value for a life annuity business
Blackburn, Craig; Hanewald, Katja; Olivieri, Annamaria; … - In: Astin bulletin : the journal of the International … 47 (2017) 1, pp. 43-77
Persistent link: https://www.econbiz.de/10011670852
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Longevity risk, cost of capital and hedging for life insurers under Solvency II
Meyricke, Ramona; Sherris, Michael - In: Insurance / Mathematics & economics 55 (2014), pp. 147-155
Persistent link: https://www.econbiz.de/10010366194
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Regulatory capital and asset risk transfer
Kim, Kyeonghee; Leverty, J. Tyler; Schmit, Joan Therese - In: The journal of risk & insurance 90 (2023) 4, pp. 1027-1061
Persistent link: https://www.econbiz.de/10014443644