Securitizing and tranching longevity exposures

DOI10.1016/J.INSMATHECO.2009.06.007zbMath1231.91144OpenAlexW1969679982MaRDI QIDQ659204

Enrico Biffis, David Blake

Publication date: 10 February 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.06.007

zbMATH Keywords

poolingasymmetric informationlongevity risktranchingsecurity design

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Economics of information (91B44)

Related Items (10)

LONGEVITY RISK MANAGEMENT AND SHAREHOLDER VALUE FOR A LIFE ANNUITY BUSINESS ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ Editorial: Longevity risk and capital markets: the 2013--14 update ⋮ Longevity Risk and Capital Markets: The 2012–2013 Update ⋮ Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers ⋮ Time-consistent mean-variance hedging of longevity risk: effect of cointegration ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Constructing Out-of-the-Money Longevity Hedges Using Parametric Mortality Indexes

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