Found 38 Documents (Results 1–38)
Hedging longevity risk under non-Gaussian state-space stochastic mortality models: a mean-variance-skewness-kurtosis approach. (English) Zbl 1532.91097
Pricing longevity-linked securities in the presence of mortality trend changes. (English) Zbl 1475.91298
Reviewer: Piotr Jaworski (Warszawa)
Pooling mortality risk in eurozone state pension liabilities: an application of a Bayesian coherent multi-population cohort-based mortality model. (English) Zbl 1464.62421
A combined analysis of hedge effectiveness and capital efficiency in longevity hedging. (English) Zbl 1467.91132
MSC:
91G05
It takes two: why mortality trend modeling is more than modeling one mortality trend. (English) Zbl 1467.91133
Forward mortality rates in discrete time. II: Longevity risk and hedging strategies. (English) Zbl 1461.91247
MSC:
91G05
Hedging annuity risks with the age-period-cohort two-population gravity model. (English) Zbl 1461.91243
MSC:
91G05
Basis risk in index-based longevity hedges: a guide for longevity hedgers. (English) Zbl 1467.91137
Reviewer: Hanspeter Schmidli (Köln)
MSC:
91G05
Longevity Greeks: what do insurers and capital market investors need to know? (English) Zbl 1465.91099
Reviewer: Pavel Stoynov (Sofia)
Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk. (English) Zbl 1419.91390
MSC:
91B30
Application of relational models in mortality immunization. (English) Zbl 1411.91273
MSC:
91B30
A strategy for hedging risks associated with period and cohort effects using q-forwards. (English) Zbl 1398.91344
A comparative study of two-population models for the assessment of basis risk in longevity hedges. (English) Zbl 1390.91215
The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk. (English) Zbl 1390.91198
Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration. (English) Zbl 1371.91096
It’s all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk. (English) Zbl 1371.91103
A linear regression approach to modeling mortality rates of different forms. (English) Zbl 1414.91238
Multivariate time series modeling, estimation and prediction of mortalities. (English) Zbl 1348.62233
The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds. (English) Zbl 1348.91171
Applications of mortality durations and convexities in natural hedges. (English) Zbl 1414.91215
MSC:
91B30
62P05
A cautionary note on natural hedging of longevity risk. (English) Zbl 1412.91061
MSC:
91B30
62P05
On the mortality/longevity risk hedging with mortality immunization. (English) Zbl 1290.91093
MSC:
91B30
91D20
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