Risk-minimization for life insurance liabilities with basis risk

DOI10.1007/s11579-015-0154-4zbMath1404.91136OpenAlexW2178007548MaRDI QIDQ253099

Thorsten Rheinländer, Francesca Biagini, Irene Schreiber

Publication date: 8 March 2016

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-015-0154-4

zbMATH Keywords

affine mortality structurebasis risklife insurance payment processesmartingale representationrisk-minimization

Mathematics Subject Classification ID

Related Items (7)

Polynomial diffusion models for life insurance liabilities ⋮ Extended reduced-form framework for non-life insurance ⋮ Unit-linked life insurance policies: optimal hedging in partially observable market models ⋮ Indifference pricing of pure endowments via BSDEs under partial information ⋮ Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting ⋮ Optimal dynamic longevity hedge with basis risk ⋮ Reduced-form framework under model uncertainty

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Local risk-minimization for defaultable claims with recovery process
• Financial modeling, actuarial valuation and solvency in insurance
• Affine processes for dynamic mortality and actuarial valuations
• Valuation and hedging of life insurance liabilities with systematic mortality risk
• Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
• Stochastic differential equations. An introduction with applications
• Affine processes and applications in finance
• Hazard rate for credit risk and hedging defaultable contingent claims
• Optimal hedging of demographic risk in life insurance
• Quadratic hedging methods for defaultable claims
• Hedging life insurance contracts in a Lévy process financial market
• Understanding, modelling and managing longevity risk: key issues and main challenges
• Risk-Minimization for Life Insurance Liabilities
• On systematic mortality risk and risk-minimization with survivor swaps
• A Gravity Model of Mortality Rates for Two Related Populations
• Measuring Basis Risk in Longevity Hedges
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• LOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETS
• Convergence of discretized stochastic (interest rate) processes with stochastic drift term
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS
• Risk-minimizing hedging strategies for insurance payment processes

This page was built for publication: Risk-minimization for life insurance liabilities with basis risk