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  • Search: subject:"Mortality convexity"
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Year of publication
Subject
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Hedge effectiveness 2 Longevity risk 2 Mortality convexity 2 Mortality duration 2 Mortality immunization 2 Hedging 1 Lebensversicherung 1 Life insurance 1 Mortality 1 Portfolio selection 1 Portfolio-Management 1 Risiko 1 Risikomanagement 1 Risikomodell 1 Risk 1 Risk management 1 Risk model 1 Sterblichkeit 1 Theorie 1 Theory 1
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Undetermined 1
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Lin, Tzuling 2 Tsai, Cary Chi-Liang 1 Tsai, Cary Chi-liang 1
Published in...
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Insurance / Mathematics & economics 1 Insurance: Mathematics and Economics 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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On the mortality/longevity risk hedging with mortality immunization
Lin, Tzuling; Tsai, Cary Chi-Liang - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 580-596
In this paper, we define the mortality durations and convexities of the prices of life insurance and annuity products with respect to an instantaneously proportional change and an instantaneously parallel shift, respectively, in μs (the forces of mortality), ps (the one-year survival...
Persistent link: https://www.econbiz.de/10011046577
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Cover Image
On the mortality/longevity risk hedging with mortality immunization
Lin, Tzuling; Tsai, Cary Chi-liang - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 580-596
Persistent link: https://www.econbiz.de/10010227936
Saved in:
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