Time-consistent longevity hedging with long-range dependence
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Publication:2038218
DOI10.1016/j.insmatheco.2021.03.004zbMath1467.91154OpenAlexW3136410930MaRDI QIDQ2038218
Publication date: 6 July 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.03.004
long-range dependencetime-consistencymean-variance hedgingmortality modelopen-loop equilibrium control
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Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate ⋮ Stochastic mortality dynamics driven by mixed fractional Brownian motion
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