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Measuring Basis Risk in Longevity Hedges

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Cited by:

  1. Hong Li & Yang Lu & Pintao Lyu, 2021. "Coherent Mortality Forecasting for Less Developed Countries," Risks, MDPI, vol. 9(9), pages 1-21, August.
  2. Chen, Hua & MacMinn, Richard & Sun, Tao, 2015. "Multi-population mortality models: A factor copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 135-146.
  3. 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.
  4. 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.
  5. Snorre Jallbjørn & Søren Fiig Jarner, 2022. "Sex Differential Dynamics in Coherent Mortality Models," Forecasting, MDPI, vol. 4(4), pages 1-26, September.
  6. 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.
  7. Frank Bosserhoff & Mitja Stadje, 2019. "Mean-variance hedging of unit linked life insurance contracts in a jump-diffusion model," Papers 1908.05534, arXiv.org.
  8. 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.
  9. 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.
  10. Coughlan, Guy & Khalaf-Allah, Marwa & Ye, Yijing & Kumar, Sumit & Cairns, Andrew & Blake, David & Dowd, Kevin, 2011. "Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness," MPRA Paper 35743, University Library of Munich, Germany.
  11. Cairns, Andrew J.G., 2011. "Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 438-453.
  12. 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.
  13. Li, Johnny Siu-Hang & Liu, Yanxin & Chan, Wai-Sum, 2023. "Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 96-121.
  14. Selin Ozen & c{S}ule c{S}ahin, 2021. "A Two-Population Mortality Model to Assess Longevity Basis Risk," Papers 2101.06690, arXiv.org.
  15. French, Declan, 2014. "International mortality modelling—An economic perspective," Economics Letters, Elsevier, vol. 122(2), pages 182-186.
  16. Kung, Ko-Lun & MacMinn, Richard D. & Kuo, Weiyu & Tsai, Chenghsien Jason, 2022. "Multi-population mortality modeling: When the data is too much and not enough," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 41-55.
  17. Feng, Lingbing & Shi, Yanlin & Chang, Le, 2021. "Forecasting mortality with a hyperbolic spatial temporal VAR model," International Journal of Forecasting, Elsevier, vol. 37(1), pages 255-273.
  18. Kallestrup-Lamb, Malene & Søgaard Laursen, Nicolai, 2024. "Longevity hedge effectiveness using socioeconomic indices," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 242-251.
  19. 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.
  20. Yang, Sharon S. & Wang, Chou-Wen, 2013. "Pricing and securitization of multi-country longevity risk with mortality dependence," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 157-169.
  21. 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.
  22. 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.
  23. Jonas Hirz & Uwe Schmock & Pavel V. Shevchenko, 2017. "Actuarial Applications and Estimation of Extended CreditRisk+," Risks, MDPI, vol. 5(2), pages 1-29, March.
  24. Li, Hong & Lu, Yang, 2017. "Coherent Forecasting Of Mortality Rates: A Sparse Vector-Autoregression Approach," ASTIN Bulletin, Cambridge University Press, vol. 47(2), pages 563-600, May.
  25. 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.
  26. Lin, Tzuling & Tsai, Cary Chi-Liang, 2016. "Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 44-58.
  27. Man Chung Fung & Katja Ignatieva & Michael Sherris, 2019. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Risks, MDPI, vol. 7(1), pages 1-25, January.
  28. Helena Aro & Teemu Pennanen, 2013. "Liability-driven investment in longevity risk management," Papers 1307.8261, arXiv.org.
  29. Ahmadi, Seyed Saeed & Li, Johnny Siu-Hang, 2014. "Coherent mortality forecasting with generalized linear models: A modified time-transformation approach," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 194-221.
  30. Hunt, Andrew & Blake, David, 2018. "Identifiability, cointegration and the gravity model," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 360-368.
  31. 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.
  32. Leung, Melvern & Fung, Man Chung & O’Hare, Colin, 2018. "A comparative study of pricing approaches for longevity instruments," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 95-116.
  33. de Jong, Piet & Tickle, Leonie & Xu, Jianhui, 2016. "Coherent modeling of male and female mortality using Lee–Carter in a complex number framework," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 130-137.
  34. Chen, An & Rach, Manuel, 2019. "Options on tontines: An innovative way of combining tontines and annuities," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 182-192.
  35. 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.
  36. Wang, Pengjie & Pantelous, Athanasios A. & Vahid, Farshid, 2023. "Multi-population mortality projection: The augmented common factor model with structural breaks," International Journal of Forecasting, Elsevier, vol. 39(1), pages 450-469.
  37. Kenneth Q. Zhou & Johnny S.-H. Li & Pintao Lyu, 2024. "Bringing parametric mortality indexes to practice: a generalized CBD model with stochastic socioeconomic differentials in mortality improvements," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 295-319, April.
  38. Selin Özen & Şule Şahin, 2021. "A Two-Population Mortality Model to Assess Longevity Basis Risk," Risks, MDPI, vol. 9(2), pages 1-19, February.
  39. Zeddouk, Fadoua & Devolder, Pierre, 2022. "Pricing and hedging of longevity basis risk through securitization," LIDAM Discussion Papers ISBA 2022038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  40. Bozikas, Apostolos & Pitselis, Georgios, 2020. "Incorporating crossed classification credibility into the Lee–Carter model for multi-population mortality data," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 353-368.
  41. 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.
  42. 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.
  43. Yang Qiao & Chou-Wen Wang & Wenjun Zhu, 2024. "Machine learning in long-term mortality forecasting," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 340-362, April.
  44. 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.
  45. Arnold, Séverine & Glushko, Viktoriya, 2021. "Cause-specific mortality rates: Common trends and differences," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 294-308.
  46. Tsai, Cary Chi-Liang & Wu, Adelaide Di, 2020. "Incorporating hierarchical credibility theory into modelling of multi-country mortality rates," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 37-54.
  47. Li, Han & Chen, Hua, 2024. "Hierarchical mortality forecasting with EVT tails: An application to solvency capital requirement," International Journal of Forecasting, Elsevier, vol. 40(2), pages 549-563.
  48. Jarner, Søren F. & Jallbjørn, Snorre, 2020. "Pitfalls and merits of cointegration-based mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 80-93.
  49. Kung, Ko-Lun & Liu, I-Chien & Wang, Chou-Wen, 2021. "Modeling and pricing longevity derivatives using Skellam distribution," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 341-354.
  50. Lin, Tzuling & Wang, Chou-Wen & Tsai, Cary Chi-Liang, 2015. "Age-specific copula-AR-GARCH mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 110-124.
  51. Katrien Antonio & Anastasios Bardoutsos & Wilbert Ouburg, 2015. "Bayesian Poisson log-bilinear models for mortality projections with multiple populations," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven 485564, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven.
  52. 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.
  53. Lin, Yijia & MacMinn, Richard D. & Tian, Ruilin, 2015. "De-risking defined benefit plans," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 52-65.
  54. 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.
  55. 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.
  56. Man Chung Fung & Katja Ignatieva & Michael Sherris, 2015. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Papers 1508.00090, arXiv.org.
  57. Hunt, Andrew & Blake, David, 2015. "Modelling longevity bonds: Analysing the Swiss Re Kortis bond," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 12-29.
  58. Li, Hong & Shi, Yanlin, 2021. "Forecasting mortality with international linkages: A global vector-autoregression approach," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 59-75.
  59. Rui Zhou & Guangyu Xing & Min Ji, 2019. "Changes of Relation in Multi-Population Mortality Dependence: An Application of Threshold VECM," Risks, MDPI, vol. 7(1), pages 1-18, February.
  60. Chen, Fen-Ying & Yang, Sharon S. & Huang, Hong-Chih, 2022. "Modeling pandemic mortality risk and its application to mortality-linked security pricing," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 341-363.
  61. Min Zheng, 2015. "Heterogeneous Expectations and Speculative Behavior in Insurance-Linked Securities," Discrete Dynamics in Nature and Society, Hindawi, vol. 2015, pages 1-12, March.
  62. Lledó, Josep & Pavía, Jose M. & Morillas-Jurado, Francisco G., 2019. "Incorporating big microdata in life table construction: A hypothesis-free estimator," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 138-150.
  63. Susanna Levantesi & Massimiliano Menzietti, 2017. "Maximum Market Price of Longevity Risk under Solvency Regimes: The Case of Solvency II," Risks, MDPI, vol. 5(2), pages 1-21, May.
  64. Dorina Lazar & Anuta Buiga & Adela Deaconu, 2016. "Common Stochastic Trends in European Mortality Levels: Testing and Consequences for Modeling Longevity Risk in Insurance," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 152-168, June.
  65. Zhou, Rui & Ji, Min, 2021. "Modelling mortality dependence: An application of dynamic vine copula," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 241-255.
  66. 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.
  67. M. Martin Boyer & Lars Stentoft, 2017. "Yes We Can (Price Derivatives on Survivor Indices)," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 20(1), pages 37-62, March.
  68. Norkhairunnisa Redzwan & Rozita Ramli, 2022. "A Bibliometric Analysis of Research on Stochastic Mortality Modelling and Forecasting," Risks, MDPI, vol. 10(10), pages 1-17, October.
  69. de Jong, Piet & Tickle, Leonie & Xu, Jianhui, 2020. "A more meaningful parameterization of the Lee–Carter model," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 1-8.
  70. Li, Johnny Siu-Hang & Zhou, Rui & Hardy, Mary, 2015. "A step-by-step guide to building two-population stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 121-134.
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