Hedging pure endowments with mortality derivatives-Reference-Cited by-同舟云学术

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Hedging pure endowments with mortality derivatives

Published:2016-07 Issue: Volume:69 Page:238-255
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Wang Ting^ORCID,Young Virginia R.

Publisher

Elsevier BV

Subject

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

Reference27 articles.

1. On the pricing of longevity-linked securities;Bauer;Insurance Math. Econom.,2010

2. Relative hedging of systematic mortality risk;Bayraktar;N. Am. Actuar. J.,2009

3. Hedging life insurance with pure endowments;Bayraktar;Insurance Math. Econom.,2007

4. Pricing options in incomplete equity markets via the instantaneous sharpe ratio;Bayraktar;Ann. Finance,2007

5. Valuation of mortality risk via the instantaneous sharpe ratio: Applications to life annuities;Bayraktar;J. Econom. Dynam. Control,2009

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