Time-consistent mean-variance hedging of longevity risk : effect of cointegration
Tat Wing Wong; Mei Choi Chiu; Hoi Ying Wong
| Year of publication: |
2014
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|---|---|
| Authors: | Wong, Tat Wing ; Chiu, Mei Choi ; Wong, Hoi Ying |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 56.2014, p. 56-67
|
| Subject: | Longevity risk | Basis risk | Cointegration | Stochastic mortality | Sterblichkeit | Mortality | Risikomodell | Risk model | Hedging | Kointegration | Risikomanagement | Risk management | Theorie | Theory | Risiko | Risk | Lebensversicherung | Life insurance | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010385032