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- W3136410930 abstract "Longevity securitization enables insurers to manage longevity or mortality risk in the life market. Recent empirical studies identify long-range dependence (LRD) in mortality rates using life tables, which casts doubt on the adequacy of Markovian models for actuarial pricing and risk management. This paper derives the first time-consistent mean–variance longevity hedging strategy for insurers using a stochastic mortality model with LRD. We adopt the open-loop equilibrium control framework and derive an analytical solution to the hedging strategy. Our numerical examples show the relevance of LRD to longevity hedging and the cost of ignoring it." @default.
- W3136410930 created "2021-03-29" @default.
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- W3136410930 date "2021-07-01" @default.
- W3136410930 modified "2023-09-27" @default.
- W3136410930 title "Time-consistent longevity hedging with long-range dependence" @default.
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- W3136410930 doi "https://doi.org/10.1016/j.insmatheco.2021.03.004" @default.
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