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Robust hedging of longevity ri...
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date (oldest first)
1
Robust
hedging
of longevity risk
Cairns, Andrew J. G.
- In:
The journal of risk and insurance : the journal of the …
80
(
2013
)
3
,
pp. 621-648
Persistent link: https://www.econbiz.de/10010127211
Saved in:
2
On the robustness of longevity risk pricing
Chen, Bingzheng
;
Zhang, Lihong
;
Zhao, Lin
- In:
Insurance / Mathematics & economics
47
(
2010
)
3
,
pp. 358-373
Persistent link: https://www.econbiz.de/10008747013
Saved in:
3
A parsimonious approach to stochastic
mortality
modelling with dependent residuals
Mavros, George
;
Cairns, Andrew
;
Kleinow, Torsten
; …
-
2014
Persistent link: https://www.econbiz.de/10010362818
Saved in:
4
Robust Longevity Risk Management
Li, Hong
-
2015
We consider longevity risk
hedging
problems, where survivor swaps are available as
hedging
instruments. As objective … estimated probability law governing the
mortality
dynamics. To be robust against estimation inaccuracy, we optimize the worst …
Persistent link: https://www.econbiz.de/10013027482
Saved in:
5
Long guarantees with short duration : the rolling annuity
Jarner, Søren Fiig
;
Preisel, Michael
- In:
Scandinavian actuarial journal
(
2017
)
6
,
pp. 471-494
Persistent link: https://www.econbiz.de/10011848436
Saved in:
6
Robust mean-variance
hedging
of longevity risk
Li, Hong
;
De Waegenaere, Anja
;
Melenberg, Bertrand
- In:
The journal of risk and insurance : the journal of the …
84
(
2017
),
pp. 459-475
Persistent link: https://www.econbiz.de/10011685211
Saved in:
7
Using RBOs and megafunds to hedge longevity risk and specialty drug costs
Stein, Roger M.
- In:
The journal of alternative investments : JAI
24
(
2022
)
3
,
pp. 99-123
Persistent link: https://www.econbiz.de/10012802383
Saved in:
8
Natural
hedging
strategies for life insurers : impact of product design and risk measure
Wong, Andy
;
Sherris, Michael
;
Stevens, Ralph
- In:
The journal of risk and insurance : the journal of the …
84
(
2017
)
1
,
pp. 153-175
Persistent link: https://www.econbiz.de/10011658198
Saved in:
9
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
Saved in:
10
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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