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Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated

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  • Tat Wing Wong
  • Mei Choi Chiu
  • Hoi Ying Wong

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  • Tat Wing Wong & Mei Choi Chiu & Hoi Ying Wong, 2017. "Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 987-1023, September.
    • Handle: RePEc:bla:jrinsu:v:84:y:2017:i:3:p:987-1023
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    File URL: http://hdl.handle.net/10.1111/jori.12110
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    References listed on IDEAS

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    Cited by:

    1. Tan, Ken Seng & Weng, Chengguo & Zhang, Jinggong, 2022. "Optimal dynamic longevity hedge with basis risk," European Journal of Operational Research, Elsevier, vol. 297(1), pages 325-337.
    2. Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2020. "Sharing of longevity basis risk in pension schemes with income-drawdown guarantees," Working Papers 2020_18, Business School - Economics, University of Glasgow.
    3. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    4. Wang, Ling & Wong, Hoi Ying, 2021. "Time-consistent longevity hedging with long-range dependence," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 25-41.
    5. Wang, Ling & Chiu, Mei Choi & Wong, Hoi Ying, 2021. "Volterra mortality model: Actuarial valuation and risk management with long-range dependence," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 1-14.
    6. Deyuan Li & Chen Ling & Qing Liu & Liang Peng, 2022. "Inference for the Lee-Carter Model With An AR(2) Process," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 991-1019, June.
    7. Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2023. "Hedging longevity risk in defined contribution pension schemes," Computational Management Science, Springer, vol. 20(1), pages 1-34, December.
    8. Ling Wang & Mei Choi Chiu & Hoi Ying Wong, 2020. "Volterra mortality model: Actuarial valuation and risk management with long-range dependence," Papers 2009.09572, arXiv.org.

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