Local risk-minimization with longevity bonds

DOI10.1002/ASMB.2028MaRDI QIDQ6574711

Thomas Møller, Lars Frederik Brandt Henriksen

Publication date: 18 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

minimal martingale measurelocal risk-minimizationlongevity bond

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Valuation and hedging of life insurance liabilities with systematic mortality risk
• A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
• Hedging life insurance contracts in a Lévy process financial market
• A guided tour through quadratic hedging approaches
• On systematic mortality risk and risk-minimization with survivor swaps
• No Arbitrage and General Semimartingales
• DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS¹

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