Longevity risk, cost of capital and hedging for life insurers under Solvency II
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Publication:743154
DOI10.1016/J.INSMATHECO.2014.01.010zbMath1296.91167OpenAlexW3124931715MaRDI QIDQ743154
Michael Sherris, Ramona Meyricke
Publication date: 22 September 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.01.010
Related Items (5)
An option pricing approach for measuring solvency capital requirements in insurance industry ⋮ Product pricing and solvency capital requirements for long-term care insurance ⋮ An innovative design of flexible, bequest-enhanced life annuity with natural hedging ⋮ EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS ⋮ A combined analysis of hedge effectiveness and capital efficiency in longevity hedging
Cites Work
- Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
- Securitization, structuring and pricing of longevity risk
- An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
- Optimal hedging of demographic risk in life insurance
- Affine stochastic mortality
- On systematic mortality risk and risk-minimization with survivor swaps
- Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers
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