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Basis risk in static versus dynamic longevity-risk hedging

11 references·3 citing·50 second hopsampled

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References

2001Survivor Bonds: Helping to Hedge Mortality Risk350 cited
2011Measuring Basis Risk in Longevity Hedges222 cited
2005Securitization of Life Insurance Assets and Liabilities217 cited
2011Longevity Hedging 101131 cited
2010Understanding, modelling and managing longevity risk: key issues and main challenges122 cited
2011Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives108 cited
2008On systematic mortality risk and risk-minimization with survivor swaps97 cited
2013Longevity hedge effectiveness: a decomposition85 cited
2012Delta–Gamma hedging of mortality and interest rate risk61 cited
2014Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities53 cited
1994Delta, gamma and bucket hedging of interest rate derivatives42 cited

Cited by

2022Stochastic mortality dynamics driven by mixed fractional Brownian motion18 cited
2018A comparative study of pricing approaches for longevity instruments17 cited
2020Cohort and value-based multi-country longevity risk management16 cited

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