Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds-Reference-Cited by-同舟云学术

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Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds

Published:2022-03-03 Issue:1 Volume:27 Page:74-95
ISSN:1092-0277
Container-title:North American Actuarial Journal
language:en
Short-container-title:North American Actuarial Journal

Author:

Lin Tzuling¹,Tsai Cary Chi-Liang²,Cheng Hung-Wen³

Affiliation:

1. Department of Finance, National Chung Cheng University, Minhsiung, Taiwan

2. Department of Statistics and Actuarial Science, Simon Fraser University, Burnaby, British Columbia, Canada

3. Department of Financial Engineering and Actuarial Mathematics, Soochow University, Taipei, Taiwan

Funder

Ministry of Science and Technology, Taiwan

Natural Sciences and Engineering Research Council of Canada

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/10920277.2021.2022498

Reference38 articles.

1. The Cost of Counterparty Risk and Collateralization in Longevity Swaps

2. Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds

3. Survivor Bonds: Helping to Hedge Mortality Risk

4. Board of Governors of the Federal Reserve System, https://www.federalreserve.gov/default.htm

5. The Political Economy of Government-Issued Longevity Bonds

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A new option for mortality–interest rates;Journal of Futures Markets;2022-12-13

2. Pricing Longevity Bonds under a Credibility Framework with Limited Available Data;Risks;2022-05-04

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