The prediction risk for the development of mortality -- can it be minimized by an appropriate portfolio composition?
type: Item
instance of: scholarly article
title: The prediction risk for the development of mortality -- can it be minimized by an appropriate portfolio composition?
zbMATH Open document ID: 1183.91080
author: Carmen Wetzel
author: Hans-Joachim Zwiesler
published in: Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
publication date: 2008-10-21T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 5354738
MaRDI profile type: Publication
full work available at URL: s11857-008-0039-1
OpenAlex ID: W1991411510
cites work: Financial and Demographic Risks of a Portfolio of Life Insurance Policies with Stochastic Interest Rates
cites work: Hedging life insurance with pure endowments
cites work: Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
cites work: Q4454964
cites work: Option pricing: A simplified approach
cites work: Mortality derivatives and the option to annuitise.
cites work: Stochastic Analysis of the Interaction Between Investment and Insurance Risks
cites work: Q3648360
DOI: 10.1007/S11857-008-0039-1
Recommended article: Stochastic portfolio specific mortality and the quantification of mortality basis risk
Recommended article: Systematic and Nonsystematic Mortality Risk in Pension Portfolios
Recommended article: Lifetime asset allocation with idiosyncratic and systematic mortality risks
Recommended article: Mortality regimes and longevity risk in a life annuity portfolio
Recommended article: Robust portfolio selection for individuals: minimizing the probability of lifetime ruin
Recommended article: Modeling the Risk in Mortality Projections
Recommended article: Q3399107
Recommended article: Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
Recommended article: Individual post-retirement longevity risk management under systematic mortality risk
Recommended article: A BAYESIAN JOINT MODEL FOR POPULATION AND PORTFOLIO-SPECIFIC MORTALITY
description: scientific article; zbMATH DE number 5354738