Actuarial applications of the linear hazard transform in mortality immunization

DOI10.1016/j.insmatheco.2013.03.013zbMath1284.91272OpenAlexW2011582768MaRDI QIDQ2445990

San-Lin Chung, Cary Chi-Liang Tsai

Publication date: 15 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.03.013

zbMATH Keywords

convexityhedgingdurationimmunizationlinear hazard transformproportional hazard transform

Mathematics Subject Classification ID

Related Items (9)

Applications of Mortality Durations and Convexities in Natural Hedges ⋮ A Linear Regression Approach to Modeling Mortality Rates of Different Forms ⋮ 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 ⋮ On the mortality/longevity risk hedging with mortality immunization ⋮ NATURAL HEDGES WITH IMMUNIZATION STRATEGIES OF MORTALITY AND INTEREST RATES ⋮ Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know? ⋮ Age-specific copula-AR-GARCH mortality models ⋮ On the effectiveness of natural hedging for insurance companies and pension plans

Cites Work

• Unnamed Item
• On the Fisher-Weil immunization theorem
• Immunization of multiple liabilities
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Actuarial applications of the linear hazard transform in life contingencies
• Generalized convex inequalities
• Ordering of risks under PH-transforms
• On Redington's theory of immunization
• Natural Hedging of Life and Annuity Mortality Risks
• Encyclopedia of Quantitative Risk Analysis and Assessment

This page was built for publication: Actuarial applications of the linear hazard transform in mortality immunization