Gatzert, Nadine; Wesker, Hannah - In: Journal of Risk Finance 13 (2012), pp. 396-423
Purpose – Systematic mortality risk, i.e. the risk of unexpected changes in mortality and survival rates, can … management tool and to quantify its effectiveness in hedging against changes in mortality with respect to default risk measures … the interaction between assets and liabilities. Systematic mortality risk is considered in two ways. First, systematic …