An innovative design of flexible, bequest-enhanced life annuity with natural hedging

DOI10.1080/03461238.2021.1997795OpenAlexW3212211496MaRDI QIDQ5106335

Jonathan Ziveyi, Mengyi Xu, Yuxin Zhou, Michael Sherris

Publication date: 19 September 2022

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2021.1997795

zbMATH Keywords

longevity riskimmunizationstochastic mortalitynatural hedging

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

• Delta-gamma hedging of mortality and interest rate risk
• The affine arbitrage-free class of Nelson-Siegel term structure models
• Longevity risk, cost of capital and hedging for life insurers under Solvency II
• Affine processes for dynamic mortality and actuarial valuations
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Modern tontine with bequest: innovation in pooled annuity products
• Consistent dynamic affine mortality models for longevity risk applications
• Affine stochastic mortality
• A YIELD‐FACTOR MODEL OF INTEREST RATES

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