On the mortality/longevity risk hedging with mortality immunization
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Publication:2015624
DOI10.1016/J.INSMATHECO.2013.08.006zbMath1290.91093OpenAlexW2032858882MaRDI QIDQ2015624
Cary Chi-Liang Tsai, Tzuling Lin
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.08.006
Related Items (16)
Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds ⋮ Hedging Mortality/Longevity Risks for Multiple Years ⋮ Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary ⋮ Applications of Mortality Durations and Convexities in Natural Hedges ⋮ A Linear Regression Approach to Modeling Mortality Rates of Different Forms ⋮ A Bühlmann Credibility Approach to Modeling Mortality Rates ⋮ Application of Relational Models in Mortality Immunization ⋮ Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk ⋮ Parametric mortality indexes: from index construction to hedging strategies ⋮ NATURAL HEDGES WITH IMMUNIZATION STRATEGIES OF MORTALITY AND INTEREST RATES ⋮ Correlated age-specific mortality model: an application to annuity portfolio management ⋮ Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know? ⋮ An Efficient Method for Mitigating Longevity Value-at-Risk ⋮ Age-specific copula-AR-GARCH mortality models ⋮ On the effectiveness of natural hedging for insurance companies and pension plans ⋮ A Simple Linear Regression Approach to Modeling and Forecasting Mortality Rates
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