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An Efficient Method for Mitigating Longevity Value-at-Risk - MaRDI portal

An Efficient Method for Mitigating Longevity Value-at-Risk (Q4987104)

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scientific article; zbMATH DE number 7341026

Language	Label	Description	Also known as
English	An Efficient Method for Mitigating Longevity Value-at-Risk	scientific article; zbMATH DE number 7341026

Statements

scholarly article

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An Efficient Method for Mitigating Longevity Value-at-Risk (English)

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Johnny Siu-Hang Li

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North American Actuarial Journal

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publication date

28 April 2021

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full work available at URL

http://hdl.handle.net/11343/220012

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zbMATH Keywords

stochastic mortality models

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longevity hedging

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value-at-risk

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MaRDI profile type

MaRDI publication profile

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Statistical Applications of the Multivariate Skew Normal Distribution

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Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skew<i>t</i>-Distribution

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Understanding, modelling and managing longevity risk: key issues and main challenges

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On the pricing of longevity-linked securities

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Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds

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Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk

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Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging

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A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States

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Mortality-dependent financial risk measures

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A class of invariant consistent tests for multivariate normality

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A General Procedure for Constructing Mortality Models

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Modeling and Forecasting U.S. Mortality

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Measuring Basis Risk in Longevity Hedges

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DYNAMIC HEDGING OF LONGEVITY RISK: THE EFFECT OF TRADING FREQUENCY

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A step-by-step guide to building two-population stochastic mortality models

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On the mortality/longevity risk hedging with mortality immunization

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It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk

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THE LOCALLY LINEAR CAIRNS–BLAKE–DOWD MODEL: A NOTE ON DELTA–NUGA HEDGING OF LONGEVITY RISK

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A strategy for hedging risks associated with period and cohort effects using q-forwards

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Stochastic Mortality: The Impact on Target Capital

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Stochastic portfolio specific mortality and the quantification of mortality basis risk

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Lee-Carter mortality forecasting with age-specific enhancement.

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Financial Data and the Skewed Generalized T Distribution

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Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know?

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Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II

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Identifiers

zbMATH Open document ID

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10.1080/10920277.2019.1658607

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:4987104

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