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

DOI10.1016/J.INSMATHECO.2017.09.007zbMath1398.91344OpenAlexW2760870430MaRDI QIDQ1697249

Yanxin Liu, Johnny Siu-Hang Li

Publication date: 15 February 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11343/220014

zbMATH Keywords

longevity riskindex-based longevity hedgesmodel M7q-forwards

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (5)

Hedging longevity risk under non-Gaussian state-space stochastic mortality models: a mean-variance-skewness-kurtosis approach ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ An Efficient Method for Mitigating Longevity Value-at-Risk ⋮ The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty

Uses Software

• Human Mortality
• StMoMo

Cites Work

• Unnamed Item
• Delta-gamma hedging of mortality and interest rate risk
• Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
• Evaluating the advanced life deferred annuity -- an annuity people might actually buy
• Evaluating the goodness of fit of stochastic mortality models
• Valuation and hedging of life insurance liabilities with systematic mortality risk
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Key Q-Duration: A Framework for Hedging Longevity Risk
• Longevity hedge effectiveness: a decomposition
• Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach
• On systematic mortality risk and risk-minimization with survivor swaps
• Measuring Basis Risk in Longevity Hedges
• A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
• Longevity Risk and Capital Markets: The 2012–2013 Update
• Modeling and Pricing Longevity Derivatives Using Stochastic Mortality Rates and the Esscher Transform
• Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)

This page was built for publication: A strategy for hedging risks associated with period and cohort effects using q-forwards