Basis risk in static versus dynamic longevity-risk hedging
Year of publication: |
February-June 2017
|
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Authors: | De Rosa, Clemente ; Luciano, Elisa ; Regis, Luca |
Published in: |
Scandinavian actuarial journal. - Basingstoke : Taylor & Francis, ISSN 0346-1238, ZDB-ID 186753-2. - 2017, 4, p. 343-365
|
Subject: | Longevity risk | customized vs. indexed hedge | longevity swaps | longevity bonds | rebalancing frequency | Sterblichkeit | Mortality | Hedging | Risikomodell | Risk model | Risikomanagement | Risk management | Risiko | Risk | Portfolio-Management | Portfolio selection |
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