Time-consistent mean-variance hedging of longevity risk: effect of cointegration

DOI10.1016/j.insmatheco.2014.03.001zbMath1304.91136OpenAlexW2077151678WikidataQ58980899 ScholiaQ58980899MaRDI QIDQ2513456

Tat Wing Wong, Hoi Ying Wong, Mei Choi Chiu

Publication date: 28 January 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.03.001

zbMATH Keywords

cointegrationlongevity riskbasis riskstochastic mortality

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Portfolio theory (91G10)

Related Items (19)

Basis risk modelling: a cointegration-based approach ⋮ Optimal hedging with basis risk under mean-variance criterion ⋮ Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration ⋮ MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE ⋮ Basis risk in static versus dynamic longevity-risk hedging ⋮ Robust dynamic pairs trading with cointegration ⋮ Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank ⋮ Optimal investment for insurers with the extended CIR interest rate model ⋮ Dynamic cointegrated pairs trading: mean-variance time-consistent strategies ⋮ Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting ⋮ MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS ⋮ Optimal dynamic longevity hedge with basis risk ⋮ Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk ⋮ DYNAMIC HEDGING OF LONGEVITY RISK: THE EFFECT OF TRADING FREQUENCY ⋮ A continuous-time stochastic model for the mortality surface of multiple populations ⋮ Time-consistent longevity hedging with long-range dependence ⋮ Inference pitfalls in Lee-Carter model for forecasting mortality ⋮ Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration ⋮ Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know?

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