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Single‐ and Cross‐Generation Natural Hedging of Longevity and Financial Risk

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References

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1990Pricing Interest-Rate-Derivative Securities2,168 cited
2001Survivor Bonds: Helping to Hedge Mortality Risk350 cited
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2006Longevity Bonds: Financial Engineering, Valuation, and Hedging179 cited
2009An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach102 cited
2008Mortality risk via affine stochastic intensities: calibration and empirical relevance82 cited
2012Delta–Gamma hedging of mortality and interest rate risk61 cited

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2020Cohort and value-based multi-country longevity risk management

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2017A unisex stochastic mortality model to comply with EU Gender Directive14 cited

2019Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know?13 cited