Time-consistent meanvariance hedging of longevity risk : Effect of cointegration
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20140023783 | ||
| 003 | MAP | ||
| 005 | 20140731112949.0 | ||
| 008 | 140704e20140505esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20140011308$aWing Wong, Tat | |
| 245 | 1 | 0 | $aTime-consistent meanvariance hedging of longevity risk$b: Effect of cointegration$cTat Wing Wong, Mei Choi Chiu, Hoi Ying Wong |
| 520 | $aThis paper investigates the time-consistent dynamic meanvariance hedging of longevity risk with a longevity security contingent on a mortality index or the national mortality. Using an HJB framework, we solve the hedging problem in which insurance liabilities follow a doubly stochastic Poisson process with an intensity rate that is correlated and cointegrated to the index mortality rate. The derived closed-form optimal hedging policy articulates the important role of cointegration in longevity hedging. We show numerically that a time-consistent hedging policy is a smoother function in time when compared with its time-inconsistent counterpart. | ||
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080586447$aModelo estocástico | |
| 650 | 4 | $0MAPA20080591182$aGerencia de riesgos | |
| 650 | 4 | $0MAPA20080555016$aLongevidad | |
| 650 | 4 | $0MAPA20080555306$aMortalidad | |
| 650 | 4 | $0MAPA20140013043$aCointegración | |
| 650 | 4 | $0MAPA20080571566$aCasos prácticos | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 700 | 1 | $0MAPA20130000848$aChoi Chiu, Mei | |
| 700 | $0MAPA20090029910$aYing Wong, Hoi | ||
| 773 | 0 | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$g05/05/2014 Volumen 56 Número 1 - mayo 2014 , p. 56-67 |