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Actuarial applications of the linear hazard transform in mortality immunization · Study

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ArticleActuarial applications of the linear hazard transform in mortality immunization

Cary Chi‐Liang Tsai2013

Article2013

Actuarial applications of the linear hazard transform in mortality immunization

Cary Chi‐Liang Tsai · San‐Lin Chung

21 citations·0/0 files stored·Insurance Mathematics and Economics

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Insurance, Mortality, Demography, Risk Management Insurance and Financial Risk Management Probability and Risk Models

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References

1952Review of the Principles of Life-office Valuations 1995Insurance pricing and increased limits ratemaking by proportional hazards transforms 2017Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies*1971Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies 1977Immunization, Duration, and the Term Structure of Interest Rates 2008Encyclopedia of Quantitative Risk Analysis and Assessment 2009An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach 1983Duration: Its Development and Use in Bond Portfolio Management

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2014A Linear Regression Approach to Modeling Mortality Rates of Different Forms 2015On the effectiveness of natural hedging for insurance companies and pension plans 2019Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know?

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2013On the mortality/longevity risk hedging with mortality immunizationarticle · 6 shared references 1979An Immunization Strategy is a Minimax Strategyarticle · 4 shared references 1984Hedging Interest Rate Risk with Futures Portfolios under Term Structure Effectsarticle · 4 shared references 1986Immunization as a maxmin strategyarticle · 4 shared references 2014Applications of Mortality Durations and Convexities in Natural Hedgesarticle · 4 shared references 1985Bond portfolio immunizationother · 4 shared references

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Year2013

Typearticle

Published2013-04-18

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations21

Files0 public / 0

ShelfInsurance, Mortality, Demography, Risk Management

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doi10.1016/j.insmatheco.2013.03.013

openalex_workW2011582768

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