Dynamic Longevity Hedging in the Presence of Population Basis Risk: A Feasibility Analysis From Technical and Economic Perspectives-Reference-Cited by-同舟云学术

Dynamic Longevity Hedging in the Presence of Population Basis Risk: A Feasibility Analysis From Technical and Economic Perspectives

Published:2016-06-09 Issue:S1 Volume:84 Page:417-437
ISSN:0022-4367
Container-title:Journal of Risk and Insurance
language:en
Short-container-title:Journal Risk and Insurance

Author:

Zhou Kenneth Q.,Li Johnny Siu-Hang

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/jori.12158/fullpdf

Reference42 articles.

1. Coherent Mortality Forecasting With Generalized Linear Models: A Modified Time-Transformation Approach;Ahmadi;Insurance: Mathematics and Economics,2014

2. Basel Committee on Banking Supervision 2013 www.bis.org

3. Longevity Risk and Capital Markets: The 2012-2013 Update;Blake;North American Actuarial Journal,2014

4. Modelling and Management of Longevity Risk: Approximations to Survival Functions and Dynamic Hedging;Cairns;Insurance: Mathematics and Economics,2011

5. Robust Hedging of Longevity Risk;Cairns;Journal of Risk and Insurance,2013

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