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Modelling and management of longevity risk : approximations to survivor functions and dynamics hedging

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20110070588
003  MAP
005  20111214123435.0
008  111202e20111101gbr|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20110031176‎$a‎Cairns, A.J.G
24500‎$a‎Modelling and management of longevity risk‎$b‎: approximations to survivor functions and dynamics hedging‎$c‎A.J.G. Cairns
520  ‎$a‎This paper looks at the development of dynamic hedging strategies for typical pension plan liabilities using longevity-linked hedging instruments. Progress in this area has been hindered by the lack of closed-form formulate for the valuation of mortality-linked liabilities and assets, and the consequent requirement for simulations within simulations. We propase the use of the probit function along with a Taylor expansion to approximate longevity-contingent values. This makes it possible to develop and Implement computationally efficient, diserete-time delta hedging strategies using q-forwards as hedging instruments
650 1‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 1‎$0‎MAPA20080552114‎$a‎Pensiones
650 1‎$0‎MAPA20090041776‎$a‎Análisis actuarial
650 1‎$0‎MAPA20080564254‎$a‎Solvencia II
650 1‎$0‎MAPA20080555016‎$a‎Longevidad
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎01/11/2011 Tomo 49 Número 3 - 2011 , p. 438-453