Optimal dynamic longevity hedge with basis risk

2021 ◽  
Author(s):  
Ken Seng Tan ◽  
Chengguo Weng ◽  
Jinggong Zhang
Keyword(s):  
Basis Risk ◽  
Optimal Dynamic

Optimal Dynamic Longevity Hedge with Basis Risk

2020 ◽  
Author(s):  
Chengguo Weng ◽  
Ken Seng Tan ◽  
Jingong Zhang
Keyword(s):  
Basis Risk ◽  
Optimal Dynamic

Optimal Dynamic Contracting

2012 ◽  
Author(s):  
Marco Battaglini ◽  
Rohit Lamba
Keyword(s):  
Dynamic Contracting ◽  
Optimal Dynamic

Local Hedging of Variable Annuities in the Presence of Basis Risk

2017 ◽  
Author(s):  
Denis-Alexandre Trottier ◽  
Frrddric Godin ◽  
Emmanuel Hamel
Keyword(s):  
Variable Annuities ◽  
Basis Risk

Basis Risk in Variable Annuities

2020 ◽  
Author(s):  
Wenchu Li ◽  
Thorsten Moenig ◽  
Maciej Augustyniak
Keyword(s):  
Variable Annuities ◽  
Basis Risk

Duration and the Measurement of Basis Risk

1979 ◽  
Vol 52 (1) ◽  
pp. 51 ◽  
Author(s):  
John C. Cox ◽  
Jonathan E. Ingersoll, Jr. ◽  
Stephen A. Ross
Keyword(s):  
Basis Risk
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