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Natural hedges with immunization strategies of mortality and interest rates

Lin, Tzuling; Tsai, Cary Chi-liang - In: ASTIN bulletin : the journal of the International … 50 (2020) 1, pp. 155-185

Persistent link: https://www.econbiz.de/10012194116

Hedging longevity risk under non-Gaussian state-space stochastic mortality models : a mean-variance-skewness-kurtosis approach

Li, Johnny Siu-Hang; Liu, Yanxin; Chan, Wai-Sum - In: Insurance / Mathematics & economics 113 (2023), pp. 96-121

Persistent link: https://www.econbiz.de/10014466206

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

Systematic mortality risk : an analysis of guaranteed lifetime withdrawal benefits in variable annuities

Fung, Man Chung; Ignatieva, Ekaterina; Sherris, Michael - In: Insurance / Mathematics & economics 58 (2014), pp. 103-115

Persistent link: https://www.econbiz.de/10010437618

Cohort and value-based multi-country longevity risk management

Sherris, Michael; Xu, Yajing; Ziveyi, Jonathan - In: Scandinavian actuarial journal 2020 (2020) 7, pp. 650-676

Persistent link: https://www.econbiz.de/10012313720

Managing systematic mortality risk in life annuities : an application of longevity derivatives

Fung, Man Chung; Ignatieva, Ekaterina; Sherris, Michael - In: Risks : open access journal 7 (2019) 1/2, pp. 1-25

portfolio. Although longevity swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay … is calibrated using Australian mortality data. The hedging of the life annuity portfolio is comprehensively assessed for … a range of assumptions for the longevity risk premium, the term to maturity of the hedging instruments, as well as the …

Persistent link: https://www.econbiz.de/10012018726

Pricing and hedging of longevity basis risk through securitisation

Zeddouk, Fadoua; Devolder, Pierre - In: ASTIN bulletin : the journal of the International … 54 (2024) 1, pp. 159-184

Persistent link: https://www.econbiz.de/10014485604

Longevity trend risk over limited time horizons

Richards, Stephen J.; Currie, Iain D.; Kleinow, Torsten; … - In: Annals of actuarial science : publ. by the Institute of … 14 (2020) 2, pp. 262-277

Persistent link: https://www.econbiz.de/10012307355

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

A bivariate lattice model to compute risk measures in life insurance policies

Costabile, Massimo - In: The journal of derivatives : JOD 28 (2021) 3, pp. 123-139

Persistent link: https://www.econbiz.de/10012486033