THE LOCALLY LINEAR CAIRNS–BLAKE–DOWD MODEL: A NOTE ON DELTA–NUGA HEDGING OF LONGEVITY RISK

DOI10.1017/asb.2016.33zbMath1390.91198OpenAlexW2553693313MaRDI QIDQ4563789

Johnny Siu-Hang Li, Yanxin Liu

Publication date: 4 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2016.33

zbMATH Keywords

state-space models\(q\)-forwardsnuga hedgingthe CBD modeltrend changes

Mathematics Subject Classification ID

Related Items (11)

Hedging longevity risk under non-Gaussian state-space stochastic mortality models: a mean-variance-skewness-kurtosis approach ⋮ Rotation in age patterns of mortality decline: statistical evidence and modeling ⋮ PRICING LONGEVITY-LINKED SECURITIES IN THE PRESENCE OF MORTALITY TREND CHANGES ⋮ Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk ⋮ A combined analysis of hedge effectiveness and capital efficiency in longevity hedging ⋮ Recent declines in life expectancy: implication on longevity risk hedging ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk ⋮ An Efficient Method for Mitigating Longevity Value-at-Risk ⋮ Constructing Out-of-the-Money Longevity Hedges Using Parametric Mortality Indexes ⋮ The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty

Uses Software

• astsa

Cites Work

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