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Valuation and hedging of life insurance liabilities with systematic mortality risk · Study

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ArticleValuation and hedging of life insurance liabilities with systematic mortality risk

Mikkel Dahl2006

Article2006

Valuation and hedging of life insurance liabilities with systematic mortality risk

Mikkel Dahl · Thomas Møller

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

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Stochastic processes and financial applications Insurance, Mortality, Demography, Risk Management Probability and Risk Models

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References

1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1990Pricing Interest-Rate-Derivative Securities 1998Arbitrage Theory in Continuous Time 2004Arbitrage Theory in Continuous Time 2010A Guided Tour through Quadratic Hedging Approaches 1985Hedging of non-redundant contingent claims 2004Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts

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2011Longevity risk, retirement savings, and financial innovation 2013The New Life Market 2011Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives 2009Stochastic mortality under measure changes 2009An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach 2008On systematic mortality risk and risk-minimization with survivor swaps

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Year2006

Typearticle

Published2006-05-05

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations234

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.insmatheco.2006.02.007

openalex_workW2065660452

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2009Securitization, structuring and pricing of longevity risk

2009Mortality risk modeling: Applications to insurance securitization