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Risk-minimization for life insurance liabilities with basis risk
Biagini, Francesca; Rheinländer, Thorsten; Schreiber, Irene - In: Mathematics and financial economics 10 (2016) 2, pp. 151-178
Persistent link: https://www.econbiz.de/10011485900
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Statistical emulators for pricing and hedging longevity risk products
Risk, J.; Ludkovski, M. - In: Insurance / Mathematics & economics 68 (2016), pp. 45-60
Persistent link: https://www.econbiz.de/10011492443
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Multi-population mortality models : a factor copula approach
Chen, Hua; MacMinn, Richard D.; Sun, Tao - In: Insurance / Mathematics & economics 63 (2015), pp. 135-146
Persistent link: https://www.econbiz.de/10011349844
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A step-by-step guide to building two-population stochastic mortality models
Li, Johnny Siu-Hang; Zhou, Rui; Hardy, Mary - In: Insurance / Mathematics & economics 63 (2015), pp. 121-134
Persistent link: https://www.econbiz.de/10011349845
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De-risking defined benefit plans
Lin, Yijia; MacMinn, Richard D.; Tian, Ruilin - In: Insurance / Mathematics & economics 63 (2015), pp. 52-65
Persistent link: https://www.econbiz.de/10011349853
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Applications of mortality durations and convexities in natural hedges
Lin, Tzuling; Tsai, Cary Chi-Liang - In: North American actuarial journal 18 (2014) 3, pp. 417-442
Persistent link: https://www.econbiz.de/10011338992
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A cautionary note on natural hedging of longevity risk
Zhu, Nan; Bauer, Daniel - In: North American actuarial journal 18 (2014) 1, pp. 104-115
Persistent link: https://www.econbiz.de/10011339018
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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
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Still living with mortality : the longevity risk transfer market after one decade
Blake, David; Cairns, Andrew; Dowd, Kevin; Kessler, Amy - 2018
Persistent link: https://www.econbiz.de/10011912097
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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