Partial splitting of longevity and financial risks: the longevity nominal choosing swaptions

DOI10.1016/j.insmatheco.2016.02.001zbMath1369.91077OpenAlexW2137189579MaRDI QIDQ320262

Stéphane Loisel, Harry Bensusan, Nicole El Karoui, Yahia Salhi

Publication date: 6 October 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.02.001

zbMATH Keywords

interest rate risklongevity riskhedge effectivenesslongevity modelingpension fundsrisk transfer

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Mathematical geography and demography (91D20)

Cites Work

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• Natural Hedging of Life and Annuity Mortality Risks
• A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
• Stochastic and deterministic models for age-structured populations with genetically variable traits
• An equilibrium characterization of the term structure

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