Measuring Basis Risk in Longevity Hedges

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Li, Johnny Siu-Hang, and Mary R. Hardy. “Measuring Basis Risk in Longevity Hedges”. North American Actuarial Journal, vol. 15, no. 2, 2011, pp. 177-00, https://doi.org/10.1080/10920277.2011.10597616.
Li, J. S.-H., & Hardy, M. R. (2011). Measuring Basis Risk in Longevity Hedges. North American Actuarial Journal, 15(2), 177-200. https://doi.org/10.1080/10920277.2011.10597616
Li, Johnny Siu-Hang, and Mary R. Hardy. “Measuring Basis Risk in Longevity Hedges”. North American Actuarial Journal 15, no. 2 (2011): 177-200. https://doi.org/10.1080/10920277.2011.10597616.
Li JSH, Hardy MR. Measuring Basis Risk in Longevity Hedges. North American Actuarial Journal. 2011;15(2):177-200.
Journal Category
Social Sciences
Finance
Refrences
Title Journal Journal Categories Citations Publication Date
Backtesting Stochastic Mortality Models North American Actuarial Journal
  • Social Sciences: Finance
 88 2010
A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States North American Actuarial Journal
  • Social Sciences: Finance
 450 2009
10.2143/AST.39.1.2038060 ASTIN Bulletin
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2009
Modelling and management of mortality risk: a review Scandinavian Actuarial Journal
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Statistics
  • Social Sciences: Sociology (General)
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 174 2008
Securitization of catastrophe mortality risks Insurance: Mathematics and Economics
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 68 2008
Refrences Analysis
Category Category Repetition
Social Sciences: Economic theory. Demography: Economics as a science15
Science: Mathematics10
Science: Mathematics: Probabilities. Mathematical statistics10
Social Sciences: Commerce: Business9
Social Sciences: Statistics7
Social Sciences: Sociology (General)2
Social Sciences: Finance2
Science: Biology (General)2
Social Sciences: Commerce: Business: Personnel management. Employment management1
Social Sciences: Economic theory. Demography1
Social Sciences1
Medicine: Medicine (General): Computer applications to medicine. Medical informatics1
Science: Science (General)1
The category Social Sciences: Economic theory. Demography: Economics as a science 15 is the most frequently represented among the references in this article. It primarily includes studies from Insurance: Mathematics and Economics and North American Actuarial Journal. The chart below illustrates the number of referenced publications per year.
Refrences used by this article by year
Citations
Title Journal Journal Categories Citations Publication Date
Hierarchical mortality forecasting with EVT tails: An application to solvency capital requirement International Journal of Forecasting
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business: Personnel management. Employment management
  • Social Sciences: Commerce: Business
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2024
Longevity hedge effectiveness using socioeconomic indices Insurance: Mathematics and Economics
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2024
Bringing parametric mortality indexes to practice: a generalized CBD model with stochastic socioeconomic differentials in mortality improvements The Geneva Papers on Risk and Insurance - Issues and Practice
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2024
Machine learning in long-term mortality forecasting The Geneva Papers on Risk and Insurance - Issues and Practice
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2024
Multi-population mortality projection: The augmented common factor model with structural breaks International Journal of Forecasting
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business: Personnel management. Employment management
  • Social Sciences: Commerce: Business
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2023
Citations Analysis
Category Category Repetition
Social Sciences: Economic theory. Demography: Economics as a science103
Social Sciences: Commerce: Business94
Science: Mathematics87
Science: Mathematics: Probabilities. Mathematical statistics86
Social Sciences: Statistics77
Social Sciences: Finance68
Social Sciences: Sociology (General)8
Social Sciences: Finance: Insurance7
Technology: Engineering (General). Civil engineering (General)4
Technology: Manufactures: Production management. Operations management3
Social Sciences: Commerce: Business: Personnel management. Employment management3
Science: Science (General)2
Technology: Technology (General): Industrial engineering. Management engineering1
Social Sciences: Economic theory. Demography: Demography. Population. Vital events1
Social Sciences: Economic theory. Demography1
Technology: Technology (General): Industrial engineering. Management engineering: Information technology1
Social Sciences1
The category Social Sciences: Economic theory. Demography: Economics as a science 103 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled A Gravity Model of Mortality Rates for Two Related Populations and was published in 2011. The most recent citation comes from a 2024 study titled Machine learning in long-term mortality forecasting. This article reached its peak citation in 2015, with 27 citations. It has been cited in 33 different journals, 12% of which are open access. Among related journals, the Insurance: Mathematics and Economics cited this research the most, with 44 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year