Recent declines in life expectancy: implication on longevity risk hedging

DOI10.1016/j.insmatheco.2021.03.028zbMath1465.91095OpenAlexW3154418169MaRDI QIDQ2038264

Johnny Siu-Hang Li, Yanxin Liu

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.2021.03.028

zbMATH Keywords

longevity riskmortality heat mapsmortality improvement ratesstochastic mortality modelinghypothesis risklongevity hedging strategiesthe heat wave model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Actuarial mathematics (91G05)

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Rotation in age patterns of mortality decline: statistical evidence and modeling ⋮ Smooth projection of mortality improvement rates: a Bayesian two-dimensional spline approach

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