On the optimal hedge ratio in index-based longevity risk hedging

DOI10.1007/s13385-019-00199-wzbMath1433.91138OpenAlexW2922660744WikidataQ128206527 ScholiaQ128206527MaRDI QIDQ2303994

Jackie Li, Sixian Tang, Jia Liu, Chong It Tan

Publication date: 6 March 2020

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-019-00199-w

zbMATH Keywords

\(q\)-forwardindex-based longevity hedgelongevity basis risklongevity swaps-forward

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Actuarial mathematics (91G05)

Uses Software

• Human Mortality

Cites Work

• Modeling and Forecasting U.S. Mortality
• A common age effect model for the mortality of multiple populations
• Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
• Key Q-Duration: A Framework for Hedging Longevity Risk
• Modelling and management of mortality risk: a review
• A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES
• The CBD Mortality Indexes: Modeling and Applications

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