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Optimal hedging of demographic risk in life insurance

Norberg, Ragnar - In: Finance and stochastics 17 (2013) 1, pp. 197-222

Persistent link: https://www.econbiz.de/10009682286

Individual post-retirement longevity risk management under systematic mortality risk

Hanewald, Katja; Piggott, John; Sherris, Michael - In: Insurance / Mathematics & economics 52 (2013) 1, pp. 87-97

Persistent link: https://www.econbiz.de/10009718994

If we can simulate it, we can insure it : an application to longevity risk management

Boyer, Martin; Stentoft, Lars - In: Insurance / Mathematics & economics 52 (2013) 1, pp. 35-45

Persistent link: https://www.econbiz.de/10009719064

The tragedy of annuitization

Heijdra, Ben J.; Mierau, Jochen O.; Reijnders, Laurie S. M. - 2011

We construct a tractable discrete-time overlapping generations model of a closed economy and use it to study government redistribution of accidental bequests and private annuities in general equilibrium. Individuals face longevity risk as there is a positive probability of passing away before...

Persistent link: https://www.econbiz.de/10009686203

An operator splitting harmonic differential quadrature approach to solve Young's model for life insurance risk

Ballestra, Luca Vincenzo; Ottaviani, Massimiliano; … - In: Insurance / Mathematics & economics 51 (2012) 2, pp. 442-448

Persistent link: https://www.econbiz.de/10009672172

Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process

Fard, Farzad Alavi; Rong, Ning - In: Annals of finance 10 (2014) 2, pp. 315-332

Persistent link: https://www.econbiz.de/10010350833

Reserve-dependent benefits and costs in life and health insurance contracts

Christiansen, Marcus C.; Denuit, Michel; Dhaene, Jan - 2013

Persistent link: https://www.econbiz.de/10010358048

Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk

Luciano, Elisa; Regis, Luca - In: Insurance / Mathematics & economics 55 (2014), pp. 68-77

Persistent link: https://www.econbiz.de/10010366205

Price bounds of mortality-linked security in incomplete insurance market

Huang, Yu-lieh; Tsai, Jeffrey Tzuhao; Yang, Sharon S.; … - In: Insurance / Mathematics & economics 55 (2014), pp. 30-39

Persistent link: https://www.econbiz.de/10010366219

Cross-hedging minimum return guarantees : basis and liquidity risks

Ankirchner, Stefan; Schneider, Judith Christiane; … - In: Journal of economic dynamics & control 41 (2014), pp. 93-109

Persistent link: https://www.econbiz.de/10010425003

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