Time-consistent longevity hedging with long-range dependence

Wang, L; Wong, HY

Wang, L; Wong, HY (corresponding author), Chinese Univ Hong Kong, Dept Stat, Shatin, NT, Hong Kong, Peoples R China.

INSURANCE MATHEMATICS & ECONOMICS, 2021; 99 (): 25

Abstract

Longevity securitization enables insurers to manage longevity or mortality risk in the life market. Recent empirical studies identify long-range depen......

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