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Longevity Hedging 101

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  1. Debonneuil, Edouard & Loisel, Stéphane & Planchet, Frédéric, 2018. "Do actuaries believe in longevity deceleration?," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 325-338.
  2. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
  3. Li, Jackie & Haberman, Steven, 2015. "On the effectiveness of natural hedging for insurance companies and pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 286-297.
  4. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
  5. Liu, Yanxin & Li, Johnny Siu-Hang, 2016. "It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 301-319.
  6. David Blake & Christophe Courbage & Richard MacMinn & Michael Sherris, 2011. "Longevity Risk and Capital Markets: The 2010–2011 Update," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(4), pages 489-500, October.
  7. Jevtić, Petar & Regis, Luca, 2019. "A continuous-time stochastic model for the mortality surface of multiple populations," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 181-195.
  8. Enrico Biffis & David Blake, 2014. "Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 14-21.
  9. Risk, J. & Ludkovski, M., 2016. "Statistical emulators for pricing and hedging longevity risk products," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 45-60.
  10. Uditha Balasooriya & Johnny Siu-Hang Li & Jackie Li, 2020. "The Impact of Model Uncertainty on Index-Based Longevity Hedging and Measurement of Longevity Basis Risk," Risks, MDPI, vol. 8(3), pages 1-27, August.
  11. Jesús-Adrián Álvarez & Malene Kallestrup-Lamb & Søren Kjærgaard, 2020. "Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans," CREATES Research Papers 2020-17, Department of Economics and Business Economics, Aarhus University.
  12. Frank Bosserhoff & Mitja Stadje, 2019. "Mean-variance hedging of unit linked life insurance contracts in a jump-diffusion model," Papers 1908.05534, arXiv.org.
  13. Yang Chang & Michael Sherris, 2018. "Longevity Risk Management and the Development of a Value-Based Longevity Index," Risks, MDPI, vol. 6(1), pages 1-20, February.
  14. Wong, Tat Wing & Chiu, Mei Choi & Wong, Hoi Ying, 2014. "Time-consistent mean–variance hedging of longevity risk: Effect of cointegration," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 56-67.
  15. Tan, Chong It & Li, Jackie & Li, Johnny Siu-Hang & Balasooriya, Uditha, 2014. "Parametric mortality indexes: From index construction to hedging strategies," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 285-299.
  16. Hunt, Andrew & Blake, David, 2018. "Identifiability, cointegration and the gravity model," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 360-368.
  17. Bensusan, Harry & El Karoui, Nicole & Loisel, Stéphane & Salhi, Yahia, 2016. "Partial splitting of longevity and financial risks: The longevity nominal choosing swaptions," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 61-72.
  18. Clemente De Rosa & Elisa Luciano & Luca Regis, 2017. "Basis risk in static versus dynamic longevity-risk hedging," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2017(4), pages 343-365, April.
  19. Danesi, Ivan Luciano & Haberman, Steven & Millossovich, Pietro, 2015. "Forecasting mortality in subpopulations using Lee–Carter type models: A comparison," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 151-161.
  20. Alvarez, Jesús-Adrián & Kallestrup-Lamb, Malene & Kjærgaard, Søren, 2021. "Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 363-375.
  21. Rihab Bedoui & Islem Kedidi, 2018. "Modeling Longevity Risk using Consistent Dynamics Affine Mortality Models," Working Papers hal-01678050, HAL.
  22. Bosserhoff, Frank & Stadje, Mitja, 2021. "Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 130-146.
  23. Schmeck, Maren Diane & Schmidli, Hanspeter, 2021. "Mortality options: The point of view of an insurer," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 98-115.
  24. Börger, Matthias & Freimann, Arne & Ruß, Jochen, 2021. "A combined analysis of hedge effectiveness and capital efficiency in longevity hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 309-326.
  25. Malene Kallestrup-Lamb & Søren Kjærgaard & Carsten P. T. Rosenskjold, 2019. "Insight into Stagnating Life Expectancy: Analysing Cause of Death Patterns across Socio-economic Groups," CREATES Research Papers 2019-20, Department of Economics and Business Economics, Aarhus University.
  26. Wang, Chou-Wen & Yang, Sharon S. & Huang, Hong-Chih, 2015. "Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 30-39.
  27. Blake, David, 2009. "NDC v FDC: Pros, cons and replication," MPRA Paper 33752, University Library of Munich, Germany.
  28. Selin Ozen & c{S}ule c{S}ahin, 2021. "A Two-Population Mortality Model to Assess Longevity Basis Risk," Papers 2101.06690, arXiv.org.
  29. Li, Johnny Siu-Hang & Liu, Yanxin, 2021. "Recent declines in life expectancy: Implication on longevity risk hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 376-394.
  30. Enrico Biffis & David Blake & Lorenzo Pitotti & Ariel Sun, 2016. "The Cost of Counterparty Risk and Collateralization in Longevity Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 387-419, June.
  31. McCarthy, David G. & Wang, Po-Lin, 2021. "Pooling mortality risk in Eurozone state pension liabilities: An application of a Bayesian coherent multi-population cohort-based mortality model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 459-485.
  32. Liu, Yanxin & Li, Johnny Siu-Hang, 2018. "A strategy for hedging risks associated with period and cohort effects using q-forwards," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 267-285.
  33. Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2020. "Sharing of longevity basis risk in pension schemes with income-drawdown guarantees," Papers 2002.05232, arXiv.org.
  34. Selin Özen & Şule Şahin, 2021. "A Two-Population Mortality Model to Assess Longevity Basis Risk," Risks, MDPI, vol. 9(2), pages 1-19, February.
  35. Lin, Tzuling & Tsai, Cary Chi-Liang, 2013. "On the mortality/longevity risk hedging with mortality immunization," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 580-596.
  36. Zhou, Rui & Li, Johnny Siu-Hang & Tan, Ken Seng, 2015. "Modeling longevity risk transfers as Nash bargaining problems: Methodology and insights," Economic Modelling, Elsevier, vol. 51(C), pages 460-472.
  37. Zhou, Kenneth Q. & Li, Johnny Siu-Hang, 2019. "Delta-hedging longevity risk under the M7–M5 model: The impact of cohort effect uncertainty and population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 1-21.
  38. Tan, Ken Seng & Weng, Chengguo & Zhang, Jinggong, 2022. "Optimal dynamic longevity hedge with basis risk," European Journal of Operational Research, Elsevier, vol. 297(1), pages 325-337.
  39. Kevin Dowd & Andrew Cairns & David Blake & Guy Coughlan & Marwa Khalaf-Allah, 2011. "A Gravity Model of Mortality Rates for Two Related Populations," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 334-356.
  40. Andrew J.G. Cairns & Malene Kallestrup-Lamb & Carsten P.T. Rosenskjold & David Blake & Kevin Dowd, 2016. "Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index," CREATES Research Papers 2016-14, Department of Economics and Business Economics, Aarhus University.
  41. Malene Kallestrup‐Lamb & Søren Kjærgaard & Carsten P. T. Rosenskjold, 2020. "Insight into stagnating adult life expectancy: Analyzing cause of death patterns across socioeconomic groups," Health Economics, John Wiley & Sons, Ltd., vol. 29(12), pages 1728-1743, December.
  42. Andrew J.G. Cairns & Kevin Dowd & David Blake & Guy D. Coughlan, 2014. "Longevity hedge effectiveness: a decomposition," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 217-235, February.
  43. Fadoua Zeddouk & Pierre Devolder, 2020. "Longevity Modelling and Pricing under a Dependent Multi-Cohort Framework," Risks, MDPI, vol. 8(4), pages 1-23, November.
  44. Zhang, Jingong & Tan, Ken Seng & Weng, Chengguo, 2017. "Optimal hedging with basis risk under mean–variance criterion," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 1-15.
  45. James Risk & Michael Ludkovski, 2015. "Statistical Emulators for Pricing and Hedging Longevity Risk Products," Papers 1508.00310, arXiv.org, revised Sep 2015.
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