Delta and Gamma hedging of mortality and interest rate risk
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Cited by:
- Elisa Luciano & Luca Regis & Elena Vigna, 2017.
"Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk,"
Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 961-986, September.
- Elisa Luciano & Luca Regis & Elena Vigna, 2012. "Single and cross-generation natural hedging of longevity and financial risk," ICER Working Papers 04-2012, ICER - International Centre for Economic Research.
- Elisa Luciano & Luca Regis & Elena Vigna, 2012. "Single and cross-generation natural hedging of longevity and financial risk," Carlo Alberto Notebooks 257, Collegio Carlo Alberto.
- Wenlong Hu, 2020. "Risk management of guaranteed minimum maturity benefits under stochastic mortality and regime-switching by Fourier space time-stepping framework," Papers 2006.15483, arXiv.org, revised Dec 2020.
- Clemente De Rosa & Elisa Luciano & Luca Regis, 2015. "Static versus dynamic longevity-risk hedging," Carlo Alberto Notebooks 403, Collegio Carlo Alberto.
- Elisa Luciano & Luca Regis & Elena Vigna, 2012. "Natural delta gamma hedging of longevity and interest rate risk," ICER Working Papers - Applied Mathematics Series 21-2011, ICER - International Centre for Economic Research.
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This paper has been announced in the following NEP Reports:- NEP-HEA-2011-06-25 (Health Economics)
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