Coping with longevity via hedging : fair dynamic valuation of variable annuities
Ze Chen, Runhuan Feng, Hong Li, Tianyu Yang
| Year of publication: |
2024
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|---|---|
| Authors: | Chen, Ze ; Feng, Runhuan ; Li, Hong ; Yang, Tianyu |
| Published in: |
Insurance : mathematics and economics. - Amsterdam : North Holland Publ. Co., ISSN 0167-6687, ZDB-ID 2010248-3. - Vol. 117.2024, p. 154-169
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| Subject: | Convex hedging | Fair dynamic valuation | Longevity risk | Market-consistency | Variable annuity | Hedging | Sterblichkeit | Mortality | Lebensversicherung | Life insurance | Theorie | Theory | Private Altersvorsorge | Private retirement provision | Risikomodell | Risk model | Finanzmathematik | Mathematical finance | Altersvorsorge | Retirement provision |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2024.04.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015066964