NATURAL HEDGES WITH IMMUNIZATION STRATEGIES OF MORTALITY AND INTEREST RATES

DOI10.1017/asb.2019.38zbMath1431.91339OpenAlexW2997613370WikidataQ126456987 ScholiaQ126456987MaRDI QIDQ5213443

Tzuling Lin, Cary Chi-Liang Tsai

Publication date: 3 February 2020

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

Full work available at URL: https://doi.org/10.1017/asb.2019.38

zbMATH Keywords

convexityinterest rate riskdurationlongevity risknatural hedge

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial mathematics (91G05)

Related Items (3)

Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds ⋮ Natural hedging in continuous time life insurance ⋮ Longevity risk and capital markets: the 2019--20 update

Cites Work

• Modeling and Forecasting U.S. Mortality
• On the Fisher-Weil immunization theorem
• On the mortality/longevity risk hedging with mortality immunization
• Actuarial applications of the linear hazard transform in mortality immunization
• On Redington's theory of immunization
• A Theory of the Term Structure of Interest Rates
• Key Q-Duration: A Framework for Hedging Longevity Risk
• Measuring Basis Risk in Longevity Hedges
• Optimal Mandates and the Welfare Cost of Asymmetric Information: Evidence From the U.K. Annuity Market
• Natural Hedging of Life and Annuity Mortality Risks
• Applications of Mortality Durations and Convexities in Natural Hedges
• A Linear Regression Approach to Modeling Mortality Rates of Different Forms
• NATURAL HEDGING IN LONG-TERM CARE INSURANCE

This page was built for publication: NATURAL HEDGES WITH IMMUNIZATION STRATEGIES OF MORTALITY AND INTEREST RATES