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Time-consistent mean-variance hedging of longevity risk : effect of cointegration
Wong, Tat Wing; Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance / Mathematics & economics 56 (2014), pp. 56-67
Persistent link: https://www.econbiz.de/10010385032
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Managing mortality risk with longevity bonds when mortality rates are cointegrated
Wong, Tat Wing; Chiu, Mei Choi; Wong, Hoi Ying - In: The journal of risk and insurance : the journal of the … 84 (2017) 3, pp. 987-1023
Persistent link: https://www.econbiz.de/10011749231
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Volterra mortality model : actuarial valuation and risk management with long-range dependence
Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance / Mathematics & economics 96 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012482737
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Sub-replication and replenishing premium : efficient pricing of multi-state lookbacks
Wong, Hoi Ying; Kwok, Yue-Kuen - In: Review of derivatives research 6 (2003) 2, pp. 83-106
Persistent link: https://www.econbiz.de/10001857529
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Lévy betas : static hedging with index futures
Wong, Hoi Ying; Cheung, Edwin Kwan Hung; Wong, Shiu Fung - In: The journal of futures markets 32 (2012) 11, pp. 1034-1059
Persistent link: https://www.econbiz.de/10009697814
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Time-consistent mean-variance hedging of an illiquid asset with a cointegrated liquid asset
Chen, Kexin; Wong, Hoi Ying - In: Finance research letters 29 (2019), pp. 184-192
Persistent link: https://www.econbiz.de/10012418589
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Time-consistent longevity hedging with long-range dependence
Wang, Ling; Wong, Hoi Ying - In: Insurance / Mathematics & economics 99 (2021), pp. 25-41
Persistent link: https://www.econbiz.de/10012649205