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Redistribution of longevity risk : the effect of heterogeneous mortality beliefs

Boonen, Tim J.; De Waegenaere, Anja; Norde, Henk - In: Insurance / Mathematics & economics 72 (2017), pp. 175-188

Persistent link: https://www.econbiz.de/10011694430

A longevity basis risk analysis in a joint FDM framework

D'Amato, Valeria; Coppola, Mariarosaria; Levantesi, Susanna - In: Journal of risk finance : the convergence of financial … 18 (2017) 1, pp. 55-75

Persistent link: https://www.econbiz.de/10011653711

The locally linear cairns-blake-dowd model : a note on delta–nuga hedging of longevity risk

Liu, Yanxin; Li, Johnny Siu-Hang - In: Astin bulletin : the journal of the International … 47 (2017) 1, pp. 79-151

Persistent link: https://www.econbiz.de/10011670855

Dynamic longevity hedging in the presence of population basis risk : a feasibility analysis from technical and economic perspectives

Zhou, Kenneth Q.; Siu-Hang Li, Johnny - In: The journal of risk and insurance : the journal of the … 84 (2017), pp. 417-437

Persistent link: https://www.econbiz.de/10011685202

Hedging longevity risk in life settlements using biomedical research-backed obligations

MacMinn, Richard D.; Zhu, Nan - In: The journal of risk and insurance : the journal of the … 84 (2017), pp. 439-458

Persistent link: https://www.econbiz.de/10011685204

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

Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality

Ignatieva, Ekaterina; Song, Andrew; Ziveyi, Jonathan - In: Insurance / Mathematics & economics 70 (2016), pp. 286-300

Persistent link: https://www.econbiz.de/10011597296

It's all in the hidden states : a longevity hedging strategy with an explicit measure of population basis risk

Liu, Yanxin; Li, Johnny Siu-Hang - In: Insurance / Mathematics & economics 70 (2016), pp. 301-319

Persistent link: https://www.econbiz.de/10011597305

Delta-hedging longevity risk under the M7-M5 model : the impact of cohort effect uncertainty and population basis risk

Zhou, Kenneth Q.; Li, Johnny Siu-Hang - In: Insurance / Mathematics & economics 84 (2019), pp. 1-21

Persistent link: https://www.econbiz.de/10011990427

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

is calibrated using Australian mortality data. The hedging of the life annuity portfolio is comprehensively assessed for … 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 downside protection. A tractable stochastic mortality model with age …

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