Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration
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- Ewald, Christian-Oliver & Zhang, Aihua, 2017. "On the effects of changing mortality patterns on investment, labour and consumption under uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 105-115.
More about this item
KeywordsNonzero sum games; Longevity security market; Cointegration; Relative performance; Nash equilibrium; Demand of longevity bonds;
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