Longevity hedge effectiveness using socioeconomic indices

DOI10.1016/J.INSMATHECO.2023.11.008OpenAlexW4389612899MaRDI QIDQ6152719

Nicolai Søgaard Laursen, Malene Kallestrup-Lamb

Publication date: 13 February 2024

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2023.11.008

zbMATH Keywords

longevity riskbasis riskhedge effectivenessstatic hedgingsocioeconomic groupsQ-forwards

Mathematics Subject Classification ID

Mathematical geography and demography (91D20) Actuarial mathematics (91G05)

Cites Work

• Unnamed Item
• The Model Confidence Set
• The Pricing of Options and Corporate Liabilities
• Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
• Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
• A note on the connection between the Esscher-Girsanov transform and the Wang transform
• Longevity risk in portfolios of pension annuities
• Empirical option pricing: A retrospection
• A theory of bonus life insurance
• A combined analysis of hedge effectiveness and capital efficiency in longevity hedging
• If we can simulate it, we can insure it: an application to longevity risk management
• Pricing longevity derivatives via Fourier transforms
• Key Q-Duration: A Framework for Hedging Longevity Risk
• Understanding, modelling and managing longevity risk: key issues and main challenges
• Longevity hedge effectiveness: a decomposition
• On systematic mortality risk and risk-minimization with survivor swaps
• Measuring Basis Risk in Longevity Hedges
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
• Monotonic Smoothing Splines Fitted by Cross Validation
• A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES
• Multi-population mortality models: fitting, forecasting and comparisons
• Pricingq-forward contracts: an evaluation of estimation window and pricing method under different mortality models
• An Intertemporal Capital Asset Pricing Model
• MODELLING SOCIO-ECONOMIC DIFFERENCES IN MORTALITY USING A NEW AFFLUENCE INDEX
• Basis Risk in Index-Based Longevity Hedges: A Guide for Longevity Hedgers
• Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing
• Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies
• Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers

This page was built for publication: Longevity hedge effectiveness using socioeconomic indices