Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk
From MaRDI portal
Publication:1757605
DOI10.1016/j.insmatheco.2018.10.003zbMath1419.91390OpenAlexW2898747548MaRDI QIDQ1757605
Kenneth Q. Zhou, Johnny Siu-Hang Li
Publication date: 15 January 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.10.003
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Related Items (4)
Optimal dynamic longevity hedge with basis risk ⋮ A combined analysis of hedge effectiveness and capital efficiency in longevity hedging ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Constructing Out-of-the-Money Longevity Hedges Using Parametric Mortality Indexes
Uses Software
Cites Work
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