De-risking strategy: longevity spread buy-in
From MaRDI portal
Publication:1742716
DOI10.1016/j.insmatheco.2018.01.004zbMath1401.91125OpenAlexW2786061587MaRDI QIDQ1742716
Marilena Sibillo, Emilia Di Lorenzo, Valeria D'Amato, Steven Haberman, Pretty Sagoo
Publication date: 12 April 2018
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.01.004
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Mathematical geography and demography (91D20)
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De-risking long-term care insurance ⋮ Pricing longevity derivatives via Fourier transforms ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update
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