Longevity hedge effectiveness: a decomposition

DOI10.1080/14697688.2012.748986zbMath1294.91072OpenAlexW2061958304MaRDI QIDQ2879022

Andrew J. G. Cairns, Guy D. Coughlan, Kevin Dowd, David Blake

Publication date: 5 September 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/6836/1/Longevity%20Hedge%20Effectiveness.pdf

zbMATH Keywords

correlationlongevity riskhedge effectivenesspopulation basis riskvaluation modelrecalibration riskvalue hedging

Mathematics Subject Classification ID

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Cites Work

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• Can expected shortfall and Value-at-Risk be used to statically hedge options?
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• Modeling the Forward Surface of Mortality

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