HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS

DOI10.1017/ASB.2013.12zbMath1346.91104OpenAlexW2116009698MaRDI QIDQ5398347

Jan Widenmann, Thorsten Rheinländer, Francesca Biagini

Publication date: 27 February 2014

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

Full work available at URL: https://semanticscholar.org/paper/0d764dab2484838fbf366b4af5df29d3f56ef175

zbMATH Keywords

life insurancemean-variance hedginglongevity bondintensity-based approachaffine mortality intensity

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

Extended reduced-form framework for non-life insurance ⋮ Mortality options: the point of view of an insurer ⋮ A decomposition of general premium principles into risk and deviation ⋮ Optimal dynamic longevity hedge with basis risk ⋮ Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets ⋮ Risk-minimization for life insurance liabilities with dependent mortality risk ⋮ ANALYZING MORTALITY BOND INDEXES VIA HIERARCHICAL FORECAST RECONCILIATION ⋮ Risk-minimization for life insurance liabilities with basis risk

Cites Work

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• Optimal hedging of demographic risk in life insurance
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• Risk-minimizing hedging strategies for insurance payment processes

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