Optimal dynamic longevity hedge with basis risk
Ken Seng Tan, Chengguo Weng, Jinggong Zhang
| Year of publication: |
2022
|
|---|---|
| Authors: | Ken Seng Tan ; Weng, Chengguo ; Zhang, Jinggong |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 297.2022, 1 (16.2.), p. 325-337
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| Subject: | Risk management | Pension liability management | Longevity risk | Dynamic programming | Variance minimization | Sterblichkeit | Mortality | Hedging | Risikomanagement | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomodell | Risk model | Dynamische Optimierung | Pensionskasse | Pension fund | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2021.05.055 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013259312