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Analytic valuation of GMDB options with utility based asset allocation
Ulm, Eric - 2020
Persistent link: https://www.econbiz.de/10012316562
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Towards a large and liquid longevity market : a graphical population basis risk metric
Chan, Wai-Sum; Li, Johnny Siu-Hang; Zhou, Kenneth Q.; … - In: The Geneva papers on risk and insurance - issues and … 41 (2016) 1, pp. 118-127
Persistent link: https://www.econbiz.de/10011657562
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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
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Longevity modelling and pricing under a dependent multi-cohort framework
Zeddouk, Fadoua; Devolder, Pierre - In: Risks : open access journal 8 (2020) 4/121, pp. 1-23
We propose a multi-cohort model that is able to capture the mortality correlation between different cohorts. The model …
Persistent link: https://www.econbiz.de/10012390832
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Cohort and value-based multi-country longevity risk management
Sherris, Michael; Xu, Yajing; Ziveyi, Jonathan - In: Scandinavian actuarial journal 2020 (2020) 7, pp. 650-676
Persistent link: https://www.econbiz.de/10012313720
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Essays on risk and time with applications in insurance and finance
Schernberg, Hélène - 2019
Persistent link: https://www.econbiz.de/10012260903
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A Simple Hedge for Longevity Risk and Reimbursement Risk Using Research-Backed Obligations
Stein, Roger - 2016
hedging these risks: RBO equity tranches gain value as new life- extending therapies are developed and do so in proportion to … extremely conservative assumptions, this correlation is still 0.34, suggesting that RBO equity offers substantial hedging …
Persistent link: https://www.econbiz.de/10012998216
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On the Impact of Stochastic Volatility, Interest Rates and Mortality on the Hedge Efficiency of GLWB Guarantees
Marceau, Etienne - 2017
the impact of the outer loop modeling of mortality on the hedge efficiency of GLWB guarantees. A risk allocation between …
Persistent link: https://www.econbiz.de/10012950175
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Can satellite-based weather index insurance hedge the mortality risk of pine stands?
Kölle, Wienand; Buchholz, Matthias; Mußhoff, Oliver - In: Journal of forest economics : JFE 36 (2021) 4, pp. 315-350
Persistent link: https://www.econbiz.de/10012886543
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Coping with Longevity via Hedging : Fair Dynamic Valuation of Variable Annuities
Chen, Ze; Feng, Runhuan; Li, Hong; Yang, Tianyu - 2022
This paper proposes a fair valuation approach to price variable annuity liabilities and embedded guarantee riders in a dynamic multi-period setting. The focus of the paper is on variable annuity with the Guaranteed Lifetime Withdrawal Benefit(GLWB) rider with exposure to both equity and...
Persistent link: https://www.econbiz.de/10014237761