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Recent declines in life expectancy : implication on longevity risk hedging
Li, Johnny Siu-Hang; Liu, Yanxin - In: Insurance / Mathematics & economics 99 (2021), pp. 376-394
Persistent link: https://www.econbiz.de/10012649240
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Delta-hedging longevity risk under the M7-M5 model : the impact of cohort effect uncertainty and population basis risk
Zhou, Kenneth Q.; Li, Johnny Siu-Hang - In: Insurance / Mathematics & economics 84 (2019), pp. 1-21
Persistent link: https://www.econbiz.de/10011990427
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A strategy for hedging risks associated with period and cohort effects using q-forwards
Liu, Yanxin; Li, Johnny Siu-Hang - In: Insurance / Mathematics & economics 78 (2018), pp. 267-285
Persistent link: https://www.econbiz.de/10011825291
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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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The impact of long memory in mortality differentials on index-based longevity hedges
Zhou, Kenneth Q.; Li, Johnny Siu-Hang - In: Journal of demographic economics : JODE 89 (2023) 3, pp. 533-552
Persistent link: https://www.econbiz.de/10014365103
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Green nested simulation via likelihood ratio : applications to longevity risk management
Feng, Mingbin; Li, Johnny Siu-Hang; Zhou, Kenneth Q. - In: Insurance / Mathematics & economics 106 (2022), pp. 285-301
Persistent link: https://www.econbiz.de/10013380561