Hedging Longevity Risk When Interest Rates are Uncertain

DOI10.1080/10920277.2011.10597617zbMath1228.91049OpenAlexW2022331140MaRDI QIDQ3107263

Larry Y. Tzeng, Jennifer L. Wang, Jeffrey Tzuhao Tsai

Publication date: 21 December 2011

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2011.10597617

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (7)

Longevity risk and capital markets: the 2015--16 update ⋮ Application of Relational Models in Mortality Immunization ⋮ Editorial: Longevity risk and capital markets: the 2013--14 update ⋮ Longevity Risk and Capital Markets: The 2012–2013 Update ⋮ On the mortality/longevity risk hedging with mortality immunization ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update

Cites Work

• On the optimal product mix in life insurance companies using conditional value at risk
• Valuation of contingent claims with mortality and interest rate risks
• Mortality modelling with Lévy processes
• Lee-Carter mortality forecasting with age-specific enhancement.
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Affine stochastic mortality
• A Theory of the Term Structure of Interest Rates
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk

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