Dynamic Hedging of Longevity Risk: The Effect of Trading Frequency-Reference-Cited by-同舟云学术

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Dynamic Hedging of Longevity Risk: The Effect of Trading Frequency

Published:2014 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Li Hong

Publisher

Elsevier BV

Reference40 articles.

1. Portfolio choice with illiquid assets;A Ang;Management Science,2014

2. Dynamic mean-variance asset allocation;S Basak;Review of Financial Studies,2010

3. Dynamic hedging in incomplete markets: a simple solution;S Basak;Review of financial studies,2012

4. On the pricing of longevitylinked securities;D Bauer;Insurance: Mathematics and Economics,2010

5. The volatility of mortality;D Bauer;Asia-Pacific Journal of Risk and Insurance,2008

Cited by 1 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. Robust Longevity Risk Management;SSRN Electronic Journal;2014

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